Police Story 3: Super Cop

In this third Police Story movie, Hong Kong 'Supercop', Inspector Chan Ka-Kui is sent on a secret mission to mainland China where he is introduced to the military police force's Interpol director, Jessica Yang (Michelle Yeoh), who briefs him on his assignment. The target of the mission is a drug lord named Chaibat. In order to infiltrate Chaibat's Triad organization, the plan is to get close to Chaibat's henchman Panther, who is being held in a Chinese prison labor camp in Canton. Ka-Kui, posing as a petty criminal, is able to help Panther escape with the aid of Chinese military police, who eliminate Panther's men in the prison. Panther then meets up with some of his other men, and Ka-Kui helps them escape to Hong Kong.En route to Hong Kong, Ka-Kui, along with Panther and his men pass through the supposed home-village of Ka-Kui's undercover role. Panther insists that Ka-Kui visit his family there. Realizing he does not actually know anyone in the village, Ka-Kui is apprehensive but is pleasantly relieved to be greeted by undercover military police posing as his family, with Yang posing as his sister. Yang and the Chinese military police help them win Panther's trust by faking the murder of a policeman by Yang.After arriving in Hong Kong, Ka-Kui, Yang and Panther go to Chaibat's luxurious hide out. Ka-Kui and Yang succeed in winning Chaibat's trust, especially after helping his men destroy a fortified drug production lab in Thailand, somewhere in the Golden Triangle, when Chaibat betrays a number of other drug lords who are conducting a heroin deal with him.The action then shifts to Kuala Lumpur, Malaysia, where Chaibat's wife is being held in prison, and is facing the death penalty. However, Chaibat needs to keep her alive because she knows the secret codes to his Swiss bank account, and she will not reveal them to anyone but her husband.More difficulties arise when Ka-Kui happens to run into his girlfriend May at a Malaysian resort hotel. She confronts Ka-Kui, and the situation turns into a misunderstanding, with Panther believing that Ka-Kui was trying to proposition a prostitute. Later, Ka-Kui is able to corner May and explain the situation, and she finally calms down. At one point, May even manages to keep Ka-Kui from inadvertently blowing his own cover. But then, in an elevator, May tells a co-worker about Ka-Kui, and one of Panther's men overhears her. May is taken hostage, and Ka-Kui and Yang their cover now blown are forced to help Chaibat free his wife.Chaibat's scheme is successful, and May is released, as per their agreement. However, the exchange turns sour when Chaibat pushes May from his helicopter. Furious, Ka-Kui and Yang refuse to let Chaibat and his men escape. An elaborate stunt-filled action sequence begins that covers the roads, rooftops, and skies of Kuala Lumpur, finally reaching its climax aboard a speeding train, where Chaibat is killed after his helicopter collides into a tunnel and lands on him. Yang and Ka-Kui finally succeed in apprehending Chaibat's wife. Since her husband is dead, the wife decides to tell Yang and Ka-Kui the password to Chaibat's bank account and the two partners get into an argument over whether Hong Kong or China will take possession of it.

Question: Where does the chase take place
Answer: Kuala Lumpur