The relationship between inflation and stock returns is important for the functioning of financial markets, but there is no consensus in the literature regarding the direction and magnitude of this relationship. This is due to the fact that the relationship varies depending on time and economic conditions. This study aims to examine the periodic structure of the relationship by analyzing the effect of inflation on stock returns in Turkey within the framework of linear and regime-based approaches. In the analysis, monthly data for the period January 2005–November 2025 were used; the Consumer Price Index was considered to represent inflation, and logarithmic returns calculated from the BIST100 index were considered to represent the stock market. First, the stationarity properties of the series were tested, and then simple regression and VAR models were estimated. Impulse response functions and variance decomposition results were obtained by applying structural SVAR analysis with the Blanchard-Quah approach. In addition, the Markov regime switching model was used to examine whether the relationship changes in different economic regimes. The findings indicate that demand shocks have short-term and limited effects on stock returns, while supply shocks have stronger and more lasting effects on inflation. Regime analysis results show that the relationship structure differs during periods of low and high volatility, but the impact of inflation on stock returns remains limited in both regimes.