This study aims to analyze the factors that influence stock returns. The independent variables used in this study are Inflation, Interest Rate, Exchange Rate, Circulating Money Amount, and Dow Jones Index. While the dependent variable in this study is stock returns in consumer goods companies consisting of four companies. This study takes a case study on consumer goods companies registered in the Jakarta Islamic Index for the 2014-2018 period. This research data is in the form of secondary data obtained from official website publications such as Bank Indonesia, the Central Bureau of Statistics, and the official website of the Indonesia Stock Exchange. The data analysis method used in the research is panel data regression analysis with sampling using purposive sampling technique. The results of this study indicate that variable interest rates and money supply have a positive and significant effect on stock returns. The variable exchange rate has a negative and significant effect on stock returns while the inflation variable and the Dow Jones Index do not affect stock returns.