The paper examines the relationship among stock market returns (KSE-100 Index) and exchange rate, real interest rate, gross domestic product, money supply (M1). In order to respond the queries, this study used monthly data of all variables from 2003 to 2013. And the applied tools of analysis are descriptive statistics, unit root test (Phillips-Perron Test) and ARDL approach to co-integration. ARDL approach results revealed that exchange rate, money supply, and real interest rate have no statistically significant impact on stock market returns. However, there is a significant positive impact of current GDP on stock market return and a significant negative impact of lag term of GDP on stock market return. In the short-run, there is a significant positive impact of gross domestic product on stock market return. The positive impact of GDP on stock market return is consistent with some previous studies. This study concludes that GDP is the most important factor among the selected macroeconomic variables to influence the Karachi Stock Exchange returns (KSE 100 Index). The gross domestic product should be in focus in order to increase shares