Stock are proof of ownership of the value of a company, stock are also one of the securities traded in the capital market. In addition,stocks are one of the investment instruments that have a high risk and return, however, they are still the most popular. This is evidenced by the increasing number of Indonesian investors every year. The purpose of this research is to assess efficient banking stocks and classify them. The analytical method in this research is used descriptive analysis method with a quantitative approach. The analytical tool used the Capital Asset Pricing Model (CAPM). The results showed that of the fourty two banking stocks that became the research sample, there were thirty one efficient stocks and eleven inefficient stocks.