Asset-backed securitisation has become a viable and increasingly attractive risk management and refinancing method either as a stand-alone form of structured finance or as securitised debt in collateralised debt obligations (CDO). The absence of industry standardisation, however, has prevented rising investment demand from translating into market liquidity comparable with traditional fixed income instruments, in all but a few selected market segments. In particular, low financial transparency and complex security designs inhibit profound analysis of secondary market pricing and how it relates to established forms of external finance. This paper represents the first attempt to measure the intertemporal, bivariate causal relationship between matched price series of equity and ABS issued by the same entity. In a two-dimensional linear system of simultaneous equations, it investigates the short-term dynamics and long-term consistency of daily secondary market data from the UK sterling asset-backed securities (ABS)/mortgage backed securities (MBS) market and exchange traded shares between 1998 and 2004 with and without the presence of cointegration. The causality framework delivers compelling empirical support for a strong co-movement between matched price series of ABS-equity pairs, where ABS markets seem to contribute more to price discovery over the long run. Controlling for cointegration, risk-free interest and average market risk of corporate debt hardly alters the results. Once the magnitude and direction of price discovery on various security characteristics, such as the ABS asset class, are qualified, however, it is found that ABS-equity pairs with large-scale commercial MBS/residential MBS and credit card/student loan ABS reveal stronger lead-lag relationships and joint price dynamics than whole business ABS.