Prediction models and techniques are of great ability and importance to all economic agents. More specifically, successful prediction of stock exchange rates and returns are beneficial for investors who want to make higher returns as well as governments in decision-making. Therefore, this study examines the predictive capability of a backward propagation artificial neural network. Moreover, it is aimed at determining whether a backward propagation neural network is capable of accurately predicting the Borsa Istanbul (BIST 100 index) stock returns. Interest rates, inflation rates, exchange rate, money supply, industrial production index of the Turkish economy as well as five world stock market indices are used as input variables to predict returns. The experimental results suggest that the model successfully predicts the monthly return of the BIST 100 index with over 95% accuracy rate. This implies that artificial neural networks provide a promising substitute for stock market predictions for economists and practitioners.