This paper analyses the stock market linkages between the four QUAD economies and the role of bilateral trade in affecting these linkages. While existing literature has extensively explored dimensions such as return co-movements, contagion effects, and volatility spillovers, limited studies have studied the effect of trade on stock market linkages. This study also examines the impact of shocks on stock market linkages. The study uses monthly secondary data like S&P 500 (United States), BSE Sensex (India), Nikkei 225 (Japan), and ASX 200 (Australia), from January 2004 to December 2024. GDP and bilateral trade data are used to calculate the aggregate trade intensity. VARX (1) model is employed to analyse the linkages between the stock market returns and to evaluate the effect of trade on market returns. We have incorporated lagged aggregate trade intensity as an exogenous variable in this model. The results reveal that cross-market return linkages are weak. The findings of the study show that the aggregate trade variable significantly and negatively affects the stock market returns of the select economies. Stock market returns of QUAD economies are also affected significantly by global financial crisis and COVID-19. The study uses the portmanteau test to check for serial autocorrelation in the estimated model. In order to further examine the dynamics of stock market linkages, the study employed Granger Causality tests, Impulse Response Functions (IRFs), and Forecast Error Variance Decomposition (FEVD). While impulse response functions analysis reveals that US market acts as a net transmitter of return shocks on the other markets, the forecast error variance decomposition further shows that the US market is largely driven by its own shocks.