Macroeconomic risk is one of the variables which can arbitrage the market condition to determine return volatility in capital market. One of the most famous methodologies to determine macroeconomic risk in capital market is Arbitrage Pricing Theory (APT). Using monthly data of Indonesia composite index return and sector index return in five years (2013-2017), it has been known that there is no economics risk factor of APT model which can explain the movement of stock return in Indonesia Capital Market. This condition is able to show two posibilities. First, investors act irrationally. Second, investors tend to consider the performance of company than considering sistematic risk that can influence the overal condition of market and industrial.