This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible to detect causality not only from the US to foreign countries but in some cases vice versa. The observation period is October 1985 to October 1997. Analysis of the structural properties leads to the examination of four separated periods. Results for Hosoyas measure of the strength of causality and impulse response analysis facilitate a dynamic analysis of the causal structure. Increasing influence from NYSE to foreign markets can be shown, whereas influence of the foreign markets on the Dow Jones is decreasing.