We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods.