This study revisits the issue of market inter-dependence in the Scandinavian stock markets, following the research of Booth, Martikainen, and Tse(1997). Unlike their previous research, AR-CJR-in-Mean models and the daily return data of 1990 to 2002 are used in this study to re-examine mean and volatility spillovers in the Nordic region of Denmark, Finland, Norway, and Sweden. The following results were obtained from the empirical analysis. First, the leverage effect or phenomenon of an asymmetrically higher response of the unexpected returns of the current period on the subsequent period`s volatility was confirmed to exist in all markets. Secondly, the information transmission of mean spillover was confirmed to exist on all possible paths in all four markets, whereas the volatility spillover was found on most information paths. This research contributed to the literature on international market linkages by analyzing the behavior of information transmission among the four Scandinavian stock markets.