: This paper examines the relationship between stock indices of Malaysia and the emerging East Asian countries, namely South Korea, Taiwan, Hong Kong and Japan. The cointegration analysis found a long-run relationship between the stock indices of Malaysia and South Korea. The results of the Granger causality suggest no evidence of any causality between the stock indices of Malaysia and Japan. Whereas in the short run, a unidirectional causality running from stock indices of South Korea and Hong Kong to that of Malaysia were detected. Conversely, stock indices of Malaysia and Taiwan showed bidirectional causality.