Developing countries are more sensitive to developments in global markets and capital movements. Therefore, their financial stress should not be high enough to put the economic recovery in danger when faced with problems originating from financial markets. In this paper, it is aimed to provide benefit to policymakers by creating a financial stress index that covers the period from 1990:01 to 2017:02 for Turkey in order to monitor financial stability. The variables included in the index are chosen among the variables that define the high stress conditions in financial markets. Markov regime switching models have been defined for this financial stress index, with the help of these models, low stress, normal stress and high stress periods in financial markets have been determined. The findings have been reached that high stress periods concentrated in the crisis years of 1991, 1994, 1998, 2000-2001 and 2008. This shows the success of the financial index to predict the crises in Turkey.