The growing number of cross‐listed stocks has significantly contributed to the integration of national economies over the last few decades, and has consequently strengthened the interdependence between international stock markets. This phenomenon has sparked a fervent debate in academia and in decision‐making circles dealing with volatility spillovers between international stock prices. Accordingly, isolated examinations of single foreign cross‐listing markets appear inadequate. On this basis, the aim of this article is to recognize volatility transmission patterns within international equity markets using a unique and comprehensive sample of highly traded companies simultaneously cross‐listed in the United States and the UK. An important fact to be noted here is that long‐range dependence is statistically proved in the studied cases, which means that the efficient market hypothesis is utterly rejected. Therefore, a multivariate fractionally co‐integrated model is preliminarily used to fit various samples of high‐frequency time series. Resulting residuals are then subject to a deeper analysis, allowing us to reveal significant volatility transmissions between markets of multiple cross‐listed stocks. Causality experiments are finally conducted on processed data. The results show strong bi‐directional volatility causations between various marketplaces. The overall deduction of this work is that price discovery takes place essentially in local and British markets, thus implying a satellite role in the price discovery process for American exchanges.