This study investigates the relationship between the exchange rates and stock returns in Turkey. By employing the ARDL cointegration approach in the study, it is found that cointegration has existed between BIST-100 Index and the exchange rate of US dollar in Turkey. Empirical results suggest that exchange rate influences stock prices with a negative correlation as expected. The results also show that money supply influences stock prices with a positive correlation in accordance with expectations too. For Turkey these results support goods market theory (or traditional approach), one of two main theories explain the relationship between stock prices and exchange rates in literature.