They are illegal in the US and often originate abroad, anyway, so legality under the law of the target country (or the source country, as most are illegal where they originate, too) doesn't seem to be a controlling factor.
Although no law will prevents all scams, some European governments do have much stricter laws on when you can "cold call" period. In Germany, for instance, thanks to legislation passed a decade ago, I believe the customer needs to grant explicit permission in order for a business to be able to cold call, and no telemarketer can impersonate your phone number -- https://www.thelocal.de/20090804/21021.
It would be interesting to see if there is a correlation with these sorts of laws, and the prevalence of phone scams.