The impact of monetary policy decisions on stock prices has always been an important issue both for policy makers and financial investors. In this context this study investigates the impact of monetary policy decisions on the stock prices during the period of inflation targeting. We used Johansen cointegration test and VAR/VEC methods in order to analyze the relationships between various BIST stock indices, overnight interbank interest rate, and USD-Turkish Lira exchange rate. Results demonstrate that interest rate shocks impact stock prices negatively and this impact is permanent.