This study examines the common stochastic trends among national stock prices of the U.S. and five East Asian countries, including Japan, Taiwan, Hong Kong, Singapore, and South Korea. Through Johansen's maximum likelihood estimation procedure, two cointegration relationships are identified and the six stock price variables are found to share four common unit roots. The result suggests that the U.S. and Taiwan markets may not belong to a "common" stock region containing the remaining four countries. The result also shows that most variables have the same adjustment speed in moving from short-run disequilibria toward the common trend. Finally, impulse response analyses suggest that short-run adjustments to temporary shocks occur rather quickly for some countries, and that for others the pattern and magnitude of the adjustments may be influenced by commonalities in ethnic and other backgrounds of the countries involved.