Purpose: This study investigates the influence of trading mechanisms on cross-market integration between stocks and corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis. Unlike the worldwide practice of trading corporate bonds on an over-the-counter (OTC) market, TASE uses a limit-order-book (LOB) for both stocks and bonds, potentially creating unique volatility dynamics through direct information spillover. We analyze the volatility dynamics and spillover effects between TASE’s stock and corporate bond markets. Design/methodology/approach: We employ an exponential general autoregressive conditional heteroskedastic (EGARCH)(1,1) model to assess the impact of stock market fear, measured by implied volatility, on Tel-Bond 20 Index returns and volatility. A bivariate diagonal Baba-Engle-Kraft-Kroner (BEKK) model is also applied to capture time-series integratio...