The purpose of this study is to empirically examine the relationships among volatility index (VIX), Turkey’s stock market (BIST index), and Turkish exchange rates (TL/US dollar). The impacts of a shock from VIX on BIST-100 and the dollar are identified by means of impulse-response functions and variance decomposition analyses. Then, the causal linkages between the variables of interest are analyzed by Granger causality approach. The impulse-response functions indicate that a VIX shock effects BIST-100 negatively and the dollar positively. The variance decomposition analysis shows that the VIX explains the forecast error variance of the dollar more than that of BIST-100. The causality analysis supports an evidence on information flows from VIX to both BIST-100 and the dollar.