This book briefs the work of a study which investigates the existence of long-run relationships between the Turkish banking Return Index and macroeconomic variables namely Interest rate, real exchange rate and money supply. The study was applied for the period span of January 2002 to December 2013. The techniques used to analyze the data were Time series analysis. First Johansen and Juselius cointegration test was applied to examine the existence of a long-run association between the selected variables. The findings revealed the existence of a long-run relationship among the variables during the period of study. Second Granger causality test was implemented to find the causality direction among the variables. The results also indicated divergent to previous studies a unidirectional Granger causality between Turkish banking returns Index and the exchange rate.