Using end-of-day closing prices for the US Dow Jones Industrial Average 30, the UK FTSE 100 and the Australian All Ordinaries Index between 1984 and 2001, the authors examine whether a long-run relationship is stable over time. Whilst the Australian index is found to move independently of the other indices, the relationship between the UK and US markets was robust between 1984 and 1993 with the exception of the period immediately subsequent to the October 1987 stock market crash. However, this relationship was interrupted by the 1993-94 US bond market collapse, and the evidence suggests that it has failed to re-establish itself.