This study examines the changing nature of volatility in the Hong Kong stock market using daily returns from 1993 to 2004. In particular, I investigate volatility co-movements between the Hong Kong stock market and the markets of US, UK, Japan and China using Univariate GARCH, Vector Autoregressions, and Structural Vector Autoregressive models to capture the volatility linkages. The empirical results indicate that there is a high degree of volatility co-movement between the Hong Kong market and those of the US and Japan. Volatilities are persistent in all five markets. In line with previous studies, I find the US market is the most influential market. Though Hong Kong and China are geographically and economically close, the Chinese market has a small impact on the Hong Kong market.