This paper tests the conventional wisdom that short-term volatility and price changes spill over from developed to emerging markets, but not vice versa. We also investigate how degree of market openness affects return and volatility spillovers. Three developed markets, New York, Tokyo, and London, and two emerging markets, Taiwan and Hong Kong, are examined. Two most interesting findings are: first, the Tokyo market has less influence than the New York market over the Taiwanese and Hong Kong markets; and second, the Taiwanese market is more sensitive than the Hong Kong market to the price and volatility behavior of the advanced markets even though Taiwan is not as open as Hong Kong and the Taiwanese dollar is not linked to the U.S. dollar while the Hong Kong dollar is.