Abstract: The global financial crisis in 2008 brought impact to the superpower country, the United States, starting from the fall of property sales; in fact, the decrease in property sales also hit Asian region (business Indonesia, 2010). The granting of mortgage loan plays a role in the declining demand in the property sector due to the crisis, which eventually affected the stock return of property and real estate, in addition to the macroeconomic factors in Indonesia. This study aims to verify the impact of macroeconomic factors that is interest rate, the exchange rate, world oil price, money supply, and loan to value policy on the stock return of real estate and property subsector by using Vector Error Correction Model (VECM) for 2010-2014: 55 period. This study applied historical research and uses periodical data and sample determination considers purposive sampling while research data analysis utilizes. Samples of this research are divided into three groups based on market capitalization that is big cap, med cap and small cap. The result of cointegration test shows that there is a long-term or equilibrium relationship between interest rate, the exchange rate, world oil price, money supply, kurs, loan to value and return of the real estate and property subsector. IRF analysis shows that the shock on macroeconomic factors and loan to value policy gives different response to the return fluctuation. The return model is the most vulnerable when the presence of the shocks in macroeconomic variables are the return property and real estate. The results show several finding, that some variables have significance determinant to return of the property and real estate. The result shows the new loan to value policy does not have a significant impact, so that policy makers need to make some revisions to deal with changes of contents and provisions therein.