Over the past ten years, Turkey has actualized most intensive foreign trade with Germany, the UK, Russia and China. This study is also wonder that whether the same financial relations perform among the Turkey and trade partners in the equity markets. Therefore, five equity markets was determined for each country consist of the BIST100, FTSE100, DAX, RTS and SSEC as representative of the Capital markets. In this study, the VAR-EGARCH model was used that allow to examine interrelations among equity markets in terms of mutual returns and volatility spillover and in directions of asimetric spillover. The model was run by using daily closing price of the equity markets covered period of January 2, 2009 and December 29, 2017 thats not to coincided with the 2008 financial Crisis. According the results of the study, It was seen that only two countries; Germany and the UK, make a return spillovers to Turkey`s equity market already actualized most intensive export volume.