This study uses the newly released Hang Seng Volatility Index (VHSI) data set to explore differences of the risk perception between the US and Hong Kong (HK) financial markets as well as the direct sentiment spillover effects across the regions. Results show no fear or exuberance in HK market while significant fear in the USA when the market closes losses two days in a row. Cross-market evidence indicates the existence of fear in the HK market is completely imported from the USA. Direct implied volatility flows one way from USA to HK at first but shows reversal after the financial crisis.