<b>Measuring the Return and Volatility Spillovers between European and Emerging Seven Stock Markets</b><b>]</b>

Purpose:The study intends to investigate the impact of stock market volatility spillover effect from the major European countries to the emerging seven countries. Method: The study has made use of VAR-GARCH methodology, by Ling and Mc-Aleer (2003)to analyze the stock prices of major European countries and emerging seven countries’ indices from 2010 to 2021. Findings:As expected, intense volatility spillover effect has been observed especially, from European countries to emerging seven ones.Germany, France, and UK, have substantial spillover effect to Indonesia, Brazil, Mexico, China and Turkey. Implications:The findings also support the fact that geographic proximity, the absence of time difference and close cultural familiarity may help to disseminate investment opportunities and information. Originality: The study contributes in by studding the volatility spillover over effect from developed countries to emerging countries by applying VAR-GARCH which was the missing link in literature. Keywords: Volatility Spillover, EuropeanMarkets, Emerging Seven Countries, VAR-GARCH Model JEL Classifications: F3, G00, G1, G14