This paper investigates the dynamic return and asymmetric volatility transmissions between main stock markets and Small and Medium Enterprise (SME) stock markets in Hong Kong, Singapore, Thailand, and Malaysia under the joint impacts of volatility breaks, thin trading, and trading volume. For the analysis, a linear state-space AR model with Kalman filter and an augmented bivariate VAR asymmetric BEKK-GARCH model were adopted. The results reveal that only Hong Kong showed evidence of return transmission from the SME market to the main market. Controlling for the joint effects of the three factors considerably reduced the magnitude and significance level of this return transmission and, in essence, eliminates the volatility transmission. Moreover, Hong Kong's main market return exhibited a causal relationship and a long-run equilibrium relationship with the country's economic development. Therefore, the SME market arguably can make an indirect contribution to economic development in Hong Kong via its return transmission across the main market. Consequently, any policies that facilitate the development of the SME market in this country would promote long-term economic stimulation indirectly through its transmission mechanism with the main market.