This research applies unit root tests with the purpose of capturing the structural break and also specify the appropriate causality relation between stock prices and exchange rates through Granger causality process using data from Asian crisis. I tried to find evidence to support the traditional approach, namely exchange rates lead stock prices or the portfolio approach that is stock prices lead exchange rate with negative correlation. In addition the research implements cointegration test. Not only the conventional methods of Engle-Granger and Johansen test but also some more advanced test to avoid the potential estimation bias. The research has been divided into 5 sections. In the section 1 describes historical events about the Asian crisis. Section 2 presents the data and graphs. Section 3 explains the econometric framework which were used. Section 4 discusses the empirical results. At the end, in the section 5 provides a conclusion based on empirical results.