This paper assesses the effect of monetary integration on correlations between the Belgian, French and US stock market returns during the interwar period (1919-1939) using high quality value-weighted stock price indices on monthly basis. Contrary to the common wisdom, we find that cross-correlations increased before the beginning of the international financial crisis of the 1930s.Financial linkages between stock markets tightened during the Gold Exchange Standard period, showing that monetary integration has strongly affected the co-movement of stock returns especially between the Belgian-US and the French-US stock markets.