Abstarct: The main objective of the present study is to investigate the effect of corruption on volatility of stock market index for developing country : Iran, Argantina, Tururkey, China, Russia, India In the period of 2008-2015 using the GMM method. The data used in this study include :corruption perception index, volatility of stock market index, the official exchange rate, real interest rate, inflation rate, GDP growth rate, the share of stock exchanges relative to gross domestic product, as a dynamic panel data. The data have been adapted from the World Development Indicators, Central Bank, Tehran Exchange Stock and the International Transparency International. The most important hypothesis that has been tested in this study is that with the increase of the perception corruption index in the selected developing countries, the volatility of stock market index will increase. The Corruption Perceptions Index has been selected as a measure for corruption measurement, and the benchmark for volatility of stock market is the growth of the total stock index. To test the relationship between explanatory variables including the Corruption Perceptions Index on the volatility of stock market index in the mentioned countries, the generalized method of moments (GMM) has been used and the econometric model has been estimated with Eviews software. According to the results of this study, there is a strong correlation between corruption and volatility of the stock market index. On the other hand, official exchange rate variables, real interest rates, and the percentage of stock exchanges relative to gross domestic product have an impact on financial market volatility. According to the results from the study of six countries, corruption leads to financial market volatility. Fighting corruption and transparency is the most effective way to reduce the financial market instability of the selected countries.