The present study aims to examine the long-term relationships and short-term dynamics between the stock price index and inflation, industrial output and exchange rate as basic macroeconomic factors in Turkey for the period between 2003: 01 and 2010: 02. The Augmented Dickey Fuller (ADF) and Philips Perron (PP) unit root tests, Johansen Cointegration test and Granger causality test were applied to examine the intervariable relationships. The results of the analyses revealed a long-term relationship among the variables in question as there exists a cointegration relationship between the variables, while in the short run, there were unidirectional and bidirectional causal relations among the variables.[PUBLICATION ABSTRACT]