Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models

•The interrelations between the U.S. & Euro-Asian financial markets are examined.•It applies OLS & spatial model of least square regression to the fear indexes.•The U.S. VIX index and 6 Euro-Asian VIX indexes are interrelated in static time.•The U.S. fear index exceeds the European domestic risk to explain the fear in its markets.•The U.S. financial market is most affected by the risk of the U.K. financial market. This study investigates fear transmission between the U.S. financial market and the Euro-Asian financial markets. Our spatial regression models show that the U.S. VIX index (Chicago Board Options Exchange implied volatility index CBOE VIX) and six European and Asian VIX indexes collectively have the explanatory ability for each other in static time conditions. Regarding a significant spatial spillover effect, dynamic interaction is also demonstrated between the U.S. market and European and Asian markets, implying a significant transmission of risk over time. Moreover, we highlight that the U.S. domestic risk is dominant in explaining the U.S. fear index relative to international risks (European and Asian fear indexes). On the contrary, we highlight that the U.S. fear index outperforms European domestic risks in explaining fear in European financial markets. However, this is not the case for Asian markets, where the results showed that all Asian fear index reactions are more affected by the Asian realised volatilities than by the U.S. fear index.