In this study, long-term relationship between Turkey and G8 countries which represent 65% of the world economy is examined by Kapetanios (2002) unit root test and Maki (2012) cointegration test that allow more than two breaks and structural breaks can be determined as endogenous. Furthermore, before unit root and cointegration tests, all series are concluded as linear by Harvey et al. (2008) linearity test. As a conclusion, while each stock market of US, UK, Japan, and France are cointegrated in long-term with BIST (Istanbul Stock Market), stock markets of Germany and Canada are not cointegrated with BIST for this study, in the interval period from Nov 1990 to Dec 2012. So, an investor deciding to make portfolio diversification, can both decrease risk and increase income by investing on Germany or Canada stock markets together with BIST.