This master thesis undertakes the Granger Causality study with application to closing prices of two stock markets’ indexes under the vector autoregressive model (VAR) environment. The study will also present theories of Granger Causality test, unit root test, Dickey Fuller test, Johansen Cointegration test and VAR model. The data that will be used in the analysis is consisted of six time series of daily closing prices and each one of them numbers 2.085 observations. The period of study begins on September 4th 2006 and ends on October 29th 2014. Granger Causality is a test which can detect whether one time series can predict the results of another one or it can show the causal relationship between all of them. By applying this test, we manage to observe the relationships among the three indexes of the two stock markets. But before we apply the Granger Causality test we had to make and some other tests, like the unit root, the Dickey Fuller and the Johansen cointegration test.