In this paper, we have interested to testing the contagion exists that is caused by the sub-prime crisis, in order to distinguish between the cases of interdependences and “shift contagion” during this crisis. The analysis was conducted on a sample of four highly transition countries: Brazil, Russia, India and china, and the market source of crisis, taking into consideration the index as an aggregate indicator of financial market. The study of contagion is based on the tests of adjusted correlation coefficient and the non-linear error correction models. Indeed, these techniques reject the contagion hypothesis between these markets in order to conclude “no contagion, only interdependence”.