In this study, the volatility spillover effects in stock markets of various countries are examined. Volatility spillover effect occurs in two forms as heat wave and meteor shower in literature. From this point to these two effects were investigated in stock markets of Turkey, Italy, Russia and Greece. In the research, cointegration, ARCH-LM, VAR, and finally VAR-MGARCH analyzes were used. According to the results of the analysis, it was concluded that the volatility spillover effect is effective in all stock markets. Also, it was determined that more meteor shower hypothesis is more effective when the time was extended, although heat wave hypothesis is effective in the short term.