One of the factors that determine the asset prices in spot markets, investor sentiment, is also thought to be highly likely to affect the prices in futures markets as well. Therefore to explore the relationship between the returns of the contracts traded on the Futures Markets, trading volume, and the open positions and determine whether the crowds, trading on the noise, have the ability to systematically influence the futures market are of great importance for the countries growing rapidly such as Turkey. This study aims to investigate the effect of investor sentiment, on the returns of Futures Contracts traded on the Futures Market Turkey Index between April 2006 - April 2016 period. By employing the regression analysis, it is observed that the investor sentiment has a significant effect on the returns of the BIST 30 Index Futures Contracts. This study, to the authors’ best knowledge, is the first study to investigate the impact of investor sentiment on the futures market in Turkey, and the expectation is to fill the gap in the literature.