This study aims to test weak and semi-strong form efficiency of the ISE by analysing the relations between macroeconomic variables and ISE (İstanbul Securities Exchange) Composite-100 (ISE-100) index for the period of l987:l-2002:9. In this study ADF and Perran unit root tests, Granger causality and error correction models are being employed. Long run cointegration relations between ISE-100 index and macroeconomic variables have been determined by Engle-Granger cointegration test. The results

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... ow that ISE-100 index follow a random walk and ISE has a weak form efficiency. Between macroeconomic variables and ISE-100 index have been determined a cointegration and causality relationships. Because of that ISE --100 index can be estimated by using cointegration and causality relationships, some investigaters may make higher profit than the others. In addition, causality and cointegration tests indicate that ISE has no a semi-strong form efficiency.