The article examines the relationship between the Kuala Lumpur Composite Index and four foreign stock markets over six years. They analyzed daily closing prices from January 2000 to December 2005 using regression methods. The findings show a positive relationship between the Strait Times Index and Nikkei 225 Index with the Kuala Lumpur Composite Index, but a negative relationship with the Korea Kospi Index and Hang Seng Index. The study found no significant relationship between all the selected stocks and the Kuala Lumpur Composite Index.