This study investigates whether stock price movements in the ASEAN-5 (Association of South East Asian Nations) markets are driven primarily by the regional markets of China, Korea, Japan and Hong Kong or the world market of the US. Utilising monthly macro levels data from January 1991 to December 2006, a ten-market vector auto-regression system is estimated, such that the extent to which innovation in stock price of the leader market is transmitted to followers can be examined from the impulse response function and variance decomposition. The empirical results indicate that stock prices in ASEAN markets respond to one another and are highly influenced by other more developed Asian markets than by the world's most developed markets. Information flows from the US and Japan to the ASEAN markets are weak and only confined to the period of crisis. The findings imply that investors in ASEAN equity markets can obtain some profit using signals from more developed regional markets.