This paper examines the time varying relationship between stock and foreign exchange markets for China, Japan and Korea for the period Jan.2005 to Nov.2013. The relationships differ among the three countries and overtime. While, there is no evidence of a significant and consistent pattern of causality between the two market segments in China for the whole sample, there is some evidence for causality mostly from foreign exchange to stock market during major crisis periods. For Japan, we find a significant causality from foreign exchange to stock market for the whole sample. In contrast, there is a strong causality from stock to foreign exchange market in Korea. In addition, Markov regime analyses reveal that market volatility contributes to foreign exchange market information leadership in Japan and Korea, whereas foreign investor activities add to stock market leadership in Korea.