This chapter investigates the extent and structure of price linkages among five Association of Southeast Asian Nations (ASEAN) markets (Malaysia, Singapore, Philippines, Indonesia and Thailand), both in the long-run and in the short-run using cointegration based on the Johansen (1988) procedure, Granger-causality, forecast variance decomposition and impulse response analyses. The ASEAN region member economies’ growth rates are among the highest in the world (DFAT, 1992). Starting in 1988, as a result of financial reforms arising out of deregulation (Cargill, et al., 1986; Greenwood, 1986; Pringle, 1987; Drake, 1986; and Cole, 1988), the financial markets of these countries have also grown significantly (Fry, 1995; Allen, 1991). As a result, this group of markets has been attracting the attention of investors worldwide, as demonstrated by the increasing number of mutual funds specialising on ASEAN including the Asia Pacific Fund, the Malaysia Fund and the Thai Fund in the US and London capital markets (Rhee, 1992). A crucial piece of information that investors need for purposes of portfolio diversification is the degree of linkage among these markets. Unfortunately, this information is unknown at present. There has been an increasing intensity of trade between these countries (Ariff, 1996) suggesting that their financial markets are also becoming increasingly linked. The relatively few studies on financial integration on Asia have primarily focused on Japan and the so-called Asian tigers or dynamic economies of Hong Kong, Singapore, Taiwan and Korea (see, for instance, Hung and Cheung, 1995; Kwan, et al., 1996; Kwok, 1995; Cheung and Mak, 1992; among others). The current author is unaware of any systematic study which has been undertaken on equity market linkages among ASEAN countries. This study therefore seeks to redress this deficiency.