This paper investigates and compares the interactions among the stock market, monetary policy, and inflation in both Singapore and Malaysia from 2005 through 2007 using bivariate and multivariate vector autoregressive cointegrating specifications. The Granger-causality test shows that for Malaysia there significant unidirectional relationships of inter-bank loan rates to inflation, and inflation to Kuala Lumpur stock returns. For Singapore there is only one significant marginal unidirectional Granger-causality relationship of inflation to Straits Times stock returns. There are no reciprocal relationships in either country. Based on changes in the stock market, the multivariate results show negative changes on the interbank interest rates in Malaysia and positive changes on inflation except for during the third lag, where changes are negative. In Singapore, multivariate results show that changes in the stock market lead to negative changes in interbank interest rates, and negative changes in inflation for two lags before the changes turn positive during the third lag. Changes in interbank interest rates and inflation have no significant effect on any of the three variables.