With the global integration of financial markets, the international capital flows have become one of the main factors playing a significant role in determining adjustments of domestic financial markets. This study examines the co-movement of exchange rates and stock market indexes among those of the US, Canada, UK, Germany, Italy, France and Spain. Specifically the correlation and Vector ... [Show full abstract] Auto-regression (VAR) are applied to investigate the relationship. The correlation analysis shows that there exist the statistically significant co-movements only during the period of Global Financial Crisis. Also the result obtained from VAR indicates that the US has been the origin of causality influencing the directions of variations of exchange rates and stock market indexes of other countries, except the case of UK. These findings identify the dominance of the US on adjustments of financial markets in other developed countries, especially during the Global Financial Crisis, and also suggest the necessity for all countries on formulating appropriate policies to mitigate impacts on the local economy.