This paper examines contemporaneous spillover effects of stock returns ( volatility) among Asian-Pacific markets，as well as the return predictability ( lead-lag relationship) ． With the spillover index，this paper characterizes return and volatility spillover effects，and subsequently tracks time variation in spillover effects with rolling window estimation． The upward trend in the spillover index is consistent with a maintained increase in financial market integration． The return spillover index of Hong Kong stock market shows a leading role and the growing influence in the Asian-Pacific region，and the volatility spillover index of Hong Kong market ranges widely and responds to financial crises． Further analysis shows that the development of Hong Kong stock market and the cooperation with other regions generate spillover，that the financial crisis induces large volatility spillover，and that the political instability reduces the spillover and results in a declining influence of Hong Kong． Moreover，this paper explores the lead-lag relationship among monthly stock returns and identifies a leading role of Hong Kong． Finally，the sub-sample analysis shows that the global financial crisis weakens the leading role of Hong Kong． The empirical results have important policy implications in helping us understand the risk contagion mechanism，how to enhance the macro prudential regulations in each country，and how to maintain the role of global financial center of Hong Kong．