An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries

•Co-movements between daily ETF returns representing the countries under study are significant.•Emerging markets (Turkey, Russia and Poland) are more volatile than the developed markets (Germany and Austria).•However, volatilities in the Turkish market fade quickly while volatility shocks fade away slowly in Austria and Germany.•Austria and Germany have α+ß values close to 1.0 indicating that the effects of the volatility shocks fade away slowly. Turkey stands out in the sample because it has a highly volatile, jumpy market. However, as far as the long term persistence is concerned, volatilities in the Turkish market fade quickly.•There is strong evidence of volatility spillovers.•The results show that with the exception of Turkey, other equity markets experience volatility spillovers from other markets in the sample.