This thesis studies the phenomenon of volatility spillover between equity and bond markets. It uses two methodologies Hong's volatility spillover test and Yin-Wong Cheung and Lilian K. Ng's causality in variance test. It uses eleven bond markets and eleven stock markets, which form eleven countries. This analysis has two stages; at first it checks for causality with both methodologies among the above mentioned markets. Second it checks for causality exclusively in the bond markets. At first it found almost no causality among markets in both methodologies. As for the second analysis it found strong causality relations among bond markets. Also it checks if an investor can have a diversified portfolio by shifting funds from a bond market to a stock market and vice versa.