The purpose o f this study is to test the efficiency of Turkish security market with respect to a number o f macroeconomic variables, using multivariate Granger causality tests in conjunction with Akaike's final prediction error(FPE) criterion. The data set includes the daily values o f the Istanbul Exchange Index and macroecononomic variables between the years 1988-1994. The testing period is divided into sub-periods, based on the levels o f trading volume which represents the different developmental phases of the market. The empirical results showed that the macroeconomic variables effecting the stock prices change through time, in accordance to the changing market characteristics. Therefore, the success of any model over the estimation period does not guarantee that the same model will perform well outside the testing period.