Abstract This paper aims to analyze the effect of crude oil price shocks and macroeconomic variables on the Turkish stock market. To this aim, a time-varying parameter vector autoregression model (TVP-VAR) is estimated by using monthly data covering the period from February 1988 to March 2017. The time-varying responses and forecast error decompositions indicate that the impact of the variables on the stock market returns show substantial time variation. The effect of real crude oil price shocks is lower compared to those of exchange rate and interest rate. Output shock has a positive effect on stock returns, as expected. The time-varying forecast error decomposition suggest that stock returns are largely explained by the variations in exchange rate and interest rate.