In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey. Also, July 2016 coup attempt has been added to the model, to examine its impact on the volatility. According to the results, Asset Swap spread displays better performance than other two credit risk indicators in signaling. Markov Regime Switching results demonstrate that while BIST 100 return volatility is not affected by credit risk in low volatility regime, in high volatility regime, CDS, ASW and ZV spreads have a significant impact on the volatility. This effect, however, can be omitted due to its very low coefficient. Finally, it is seen that July 2016 coup attempt and following operations did not cause any increase in BIST 100 return volatility. Keywords: CDS spread, Asset swap spread, Zero-volatility spread, Credit risk, Political risk, JEL classification: D72, F59, P16, G32