Banks extreme importance of the economic stability of the country, as well as great importance when it is working on a compilation of the savings of individuals and reinvest in exchange for the return, as well as the provision of funds to finance projects, which leads to an increase in the gross national product of the country. As the purpose of the study is to understand the bank's stock movement in the Indian capital market through the risk and return factors, which has direct or indirect impact, The objective of the study is to identify the risk and return factors of Indian capital market with regard to select banking sector, to examine the efficiency of CAPM and other risk factors in the Bombay stock exchange (BSE). Along with scope of the limited of the operation of the Bombay stock exchange (BSE). This study is based on the risk-return tool and CAPM to analyze the bank's stock. we found this model to be suitable because it measures the profitability of the selected banks. The result of the study showed that the private banks making better than the public banks in the market and observed that the bank sector is an effective sector in the Indian capital market. The study recommended for public sector banks to attract more investors, it has to make some advantages to present investors and it should make wise decisions while making investments and provide more benefits to the investor.