This study investigated financial contagion between emerging and developed stock markets using the DCC-GARCH model over the period January 2010 to December 2024. Daily logarithmic return data from eight markets, namely, four emerging (India, Brazil, South Africa, Indonesia) and four developed (USA, UK, Germany, Japan) were analyzed across pre-crisis, COVID-19 crisis, and post-crisis periods. Descriptive statistics revealed non-normality and volatility clustering, justifying GARCH modeling. The ADF test confirmed stationarity at first differences. Univariate GARCH (1,1) estimates showed high volatility persistence. DCC-GARCH results revealed significant time-varying correlations, with crisis-period surges indicating contagion. Correlations remained elevated post-crisis, suggesting structural interdependence. Time-varying correlations peaked during the COVID-19 crisis, with Brazil–Germany and India–USA exhibiting the highest increases. Wavelet coherence analysis further confirmed contagion with high short- and medium-term co-movement, particularly between Indonesia–Japan and Brazil–Germany. Findings underscored that contagion was dynamic and scale-dependent, driven by trade ties, market openness, and global shocks. The study concluded that during crises, diversification benefits across these markets diminished significantly due to synchronized volatility and persistent financial linkages.