This paper investigates whether commonality in investors’ irrationality exists in two different markets. Using a proxy for investors’ irrationality in the U.S. and the Korean market, we show that the commonality exists in both markets. To test the existence of the commonality, we apply three different methods used in the literature about the commonality of liquidity. The results provide the exact link between investors’ irrationality and its effect on stock returns shown in the behavioral finance literature.