This paper aims at examining the correlation structure, co-integration relationship and volatility linkage between stock and bond market indices over a period from January 1994 to June 2004. This study uses Johansen Cointegratoin test, VECM-X model and GARCH (1,1) with MDH model to examine the existence of long-term relation and volatility linkage between stock and bond market. The findings shed some light on the existence of mean-reverting pattern of correlation across different economic environments. Findings on co-movement of stock and bond indices suggest an equilibrium relationship with short-term error correction. While evidence from volatility linkage also suggests that bond market cannot provide a meaningful explanation for conditional volatility in stock market, therefore, rejecting the mixture of distribution hypothesis.