In this study, we examined the fractal structure of the BIST100 index returns and volume during the period of 04.01.2000-19.03.2014. In the fractality tests we used long memory analysis and the fractal dimension calculation methods. Long memory analysis was conducted via Rescaled Range (R/S) analysis, Detrended Fluctuaiton Analysis (DFA) and Smith’s (2005) modified GPH analysis; fractal dimension calculations were performed with Box-Counting, Semi-Periodogram and Variogram methods. Results showed that all findings of the different methods consistent with each other, and there is no fractality in the BIST100 index returns and volume.