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This paper empirically investigates the short run dynamic linkages between NSE Nifty in India and NASDAQ Composite in US during the recent 1999-2001 period using intra-daily data, which determine the daytime and overnight returns. The study carries out a comprehensive analysis from correlation to Granger causality and then to application of GARCH models to examine the co movement and volatility transmission between US and Indian stock markets. Specifically, the study employs a two stage GARCH model and an ARMA-GARCH model to capture the mechanism by which NASDAQ Composite daytime returns and volatility have an impact on not only the mean but also on the conditional volatility of Nifty overnight returns. It is found that the simple ARMAGARCH model performs better than the more complex Two-stage GARCH model, described in the literature. The main findings of this study are as follows …