This paper investigates long-term relationship linking stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows that, there is a strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets. Nonlinear cointegration between stock prices imply portfolios in these markets are inefficient (systematic risk cannot be diversified away), as movement in the prices of these markets are linked in a predictable direction but nonlinearly.