In this paper, we propose a new approach to model and test the dynamic process of crisis transmission between two markets under market integration. Our model incorporates contagion effects as well as volatility spillovers between two markets by embedding shortterm shock into a longer term equilibrating mechanism. This is technically done by linking a single equation error correction model to a latent factor model. We apply quantile regression to test contagion and find that short-term effect representing a linear relation (or systematic volatility ratio) between two markets plays a key role for contagion. We examine into dynamic contagion process of 2008 US market crash among developed and emerging markets. It is found that some countries suffer from financial contagion from the crash, whereas others survive it. We discuss these results categorically and systematically to provide contagion odds and economic policy cues against contagion to each country.