This study examines financial contagion in stock markets of India, Sri Lanka and Pakistan during various financial crises. These markets represent a significant part of South Asian economies; therefore, the results obtained can be generalized to the region. The paper employs an Exponential GARCH model in an event study approach. Empirical analysis reveals that none of the studied markets experienced excess volatility during South East Asian crisis of 1997 but all of them experienced higher volatility in response to global financial crisis of 2008. The Indian market started showing signs of being affected by volatility transmission earlier than markets in the smaller South Asian countries. The overall patterns of results suggest that in future contagion effects are more likely to influence these markets. Moreover, the negative shocks that originate elsewhere are expected to more than proportionately impact volatility in the bourses in the region.