The study provides the empirical estimation of interdependence and contagion across three asset classes (treasury bills rate, share price and exchange rate) for ten trading economies from the period of 2000 M1 to 2011M12. Using Global Vector Autoregressive (GVAR) model, through which we can test the transmission mechanism across border financial markets, changes during period of turbulence. The GVAR model is estimated for ten trading economies. During estimation Pakistan economy is treated as single and also treated as domestic economy while other trading partner are treated as foreign economies. In this area GVAR model will stimulate research in a number of directions, using average pair wise cross section error correlation. For interdependence in financial asserts markets and cross border co-movement business fluctuation the GVAR methodology is known to be appropriate. This methodology also developed separate bootstrapping procedure for simulation of the GVAR model, which is applied in testing the structural stability of the parameter and for establishing bootstrap confidence bounds for the impulse responses. Further generalized impulse response is used in GVAR for structural impulse analysis focus on the Pakistan economy, particularly responses from the trading partners of Pakistan. Moreover, our results indicate that stock markets are much more integrated rather than treasury bills markets across border financial markets. Contagion effects across markets are significantly notable mostly in stock markets. Impulse responses indicate that during crises time trading partner of Pakistan significantly affect stock market of Pakistan and so less foreign exchange market. Supervisor:- Dr. Hasan M. Mohsin