This study investigates the relationship between equity market risks and returns in various aspects. First, the implied volatility transmissions between international stock markets--the United States, European countries, Japan, and Thailand--are examined. The results from the VAR analysis with its application, including the causality tests, show that there exists a bi-directional causality between the returns of the SET50 index and its implied volatility such that both the leverage effect (return-driven) hypothesis and the volatility feedback ...