Abstarct: Examining the relationship between markets, holds a special place in market Efficiency, selection and portfolio management and asset valuation. This dissertation, investigated the impact of New York Stock Exchange, Tokyo Stock Exchange, Shanghai Stock Exchange and Bombay Stock Exchange on Tehran Stock Exchange (TSE) for the January 2010 to December 2015 period. I used the VAR model with beck approach to investigate volatility spillover between markets. The results indicated no volatility transition from other markets to TSE. In addition, the results of the VAR-GARCH-In-Mean model with diagonal BEKK approach, indicated no impact of conditional variance of other markets on TSE return. In both models, at the 95% confidence level, there is no return contagion of other markets to TSE return.