The purpose of this research is to analyze macro economic factors (exchange rate of Rupiah/US Dollar, inflation, and BI rate) on stock return of manufacturing companies listed on LQ-45 index with capital structure as an intervening variable. Samples used in this research are among 8 manufacturing companies listed on Indonesia LQ-45 index. This research uses quantitative research with secondary data from quarterly reports of macro economic factors from central bank of Indonesia and manufacturing companies listed on Indonesia Stock Exchange. This research uses SEM PLS analysis with WarpPLS software. Independent variables are exchange rate of Rupiah/US Dollar, inflation and BI rate, the dependent variable is stock return, and capital structure as intervening variable. The result of this research indicated that, the exchange rate of Rupiah/US Dollar, inflation and BI rate have no significant effect on capital structure. Exchange rate of Rupiah/US Dollar, inflation and BI rate have a significant effect on stock return. Capital structure has no significant effect on stock return. The capital structure variable could not mediate the effect Exchange rate of Rupiah/US Dollar, inflation and BI rate have a significant effect on stock return

Keywords : Exchange Rate Of Rupiah/US Dollar, Inflation, BI Rate, Stock Return, Capital Structure.