The purpose of the present research effort is to examine the intertemporal relationships among the share price indictors of five regional stock exchanges at Bombay, Calcutta, Madras, Ahmedabad and Delhi. For each regional share price index the monthly charges, both absolute and percentage, are complied and correlated with each other and all-India index over the time period March 1971 to June 1985. The lag of each regional price relative has been regressed against the lag of all-India price relative with its lead and lag variables. Finally, an attempt has been made to examine the inter-regional relationships among the five indicators by using the recursive regression method.