We employ a bivariate common factor model to establish a permanent-transitory decomposition of two major stock indices (the Deutsche Aktienindex (DAX) for Germany and the Dow Jones Industrial Average (DJIA) for the United States). Using high-frequency data, we (1) identify a common trend shared by both indices, (2) find that the DJIA contributes up to 95% to the total innovation of the common factor, (3) show that both markets adjust within minutes to a system-wide shock, and (4) verify by hypothesis testing that the DJIA is the driving force in the transatlantic system of stock indices.