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Capital market and money market are the important financial markets that constitute the real sector and finance segment in a country's economy. These markets are markets in which financial assets such as bonds, stocks, foreign exchange, gold, deposit certificates, financing bonds are traded and sold. The transfer of funds in financial markets takes place from the economic units which have savings savings to the economic units with savings deficit. It allows the transfer of funds to those who want to seize opportunities in the market thanks to the financial system, thanks to a diversified portfolio allows risk transfer and sharing, provides liquidity feature on financial assets and would also cut down the search and cost information to provide the funds needed finally needs. In this way, savings are channeled to the real economy in order to ensure a continuous and balanced development of the country's economy. In this study, the relationship between BIST Bank (XBANK) and BIST Financial (XUMAL) indices in Borsa Istanbul (BIST) and some macroeconomic variables were investigated. In the research average deposit interest rate, dollar rate, euro rate, inflation rate and gold prices applied by banks as macroeconomic variables included. The data set consists of the monthly data for the period of 2006: 05 and 2018: 10. While analyzing the relationship between index returns and macroeconomic variables, VAR (Vector Autoregressive) analysis was used. According to the results obtained in the study, it is observed that the macro economic variables taken as independent variables are generally the same as the negative and negative impact periods.

BIST, Return, Macro Economic Indicators, VAR Analysis

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