This rasearch exumincs thc ralution hetweerl raturn ancl ri,sk o/ share.s in JdttlqTia Stock Exchungc 1996 h)t using Sturulurtl ('t.rpilal Assets ?ricitlg Model. Il the risk lus u posili\) e strong rcl.ttion wtlh th( rc turn, ..lqkurtct Slock Exchunga in u boltmcc tonditictn and Stdnddrd Cupitel Assats Prtcrng Modclcon ba ttpplietl in..lukurto Stock Exchange by the 1996 Thc rasult.s of thi.s reseort:h intliatatl that there is no ralation,thilt hetween return and risk. It means th(lt lherc i.s r.rt hulqnce in.Iakarta Stock Exchctnge in 1996.