In recent decades, economic growth has become very important in developing countries. A requirement for economic growth is the existence of financing systems for investment in various economic sectors. Financial systems can facilitate the country's economic growth by concentrating limited resources and funds for huge investments. Considering the colorful role of banks in the financing systems and the significant impact of bank stock returns on their activities, the study of factors affecting bank stock returns is of great importance. One of the influencing factors on banks' stock returns is banks' credit risk. Therefore, the present study investigates the effect of credit risk on the stock returns of selected banks accepted in the stock market during the years 2008-2021 using the dynamic system method. The results of the study show that credit risk has a negative effect on the return on shares of active banks in the stock market, and this variable is statistically significant. In addition to this important variable, the age of banks, the size of banks, the rate of return on bank assets, the ratio of total debt to total assets of banks have also been investigated and the effect of all variables except the age of banks on the stock returns of active banks in the stock market is positive and all variables are positive. They were statistically significant.