This paper examines the interplay between stock market returns and GDP growth rates in four Anglo-Saxon economies located in three separate continents (namely, the US, the UK, Canada and Australia). We analyse the dynamics of cross-country volatility transmission across these countries by using quarterly data from 1959 to 2010 and a multivariate GARCH model. Country specific cross-mean spillovers from GDP growth to stock market returns exist only from the US growth towards its stock market, while country specific cross-mean spillovers from stock market returns towards GDP growth exist in both the US and Australia. The US economy influences all three countries with the strongest impact exerted on the Canadian economy. In addition, own-volatility and co-volatility spillovers within and across all eight series are found to be positive and statistically significant, thereby confirming the close association between covolatility of both stock returns and GDP growth series shared by these four countries.