Abstract: To strengthen the capital market, there is a need to
integrate the capital markets within the region by removing legal or informal restriction, specifically, stock market liberalization. Thus the paper is to investigate the effects of the subsequent stock market liberalization on stock market integration in 4 ASEAN countries (Malaysia, Indonesia, Thailand, Singapore) and Korea from 1997 to 2007. The correlation between stock market liberalization and stock
market integration are to be examined by analyzing the stock prices
and returns within the region and in comparison with the world
MSCI index. Event study method is to be used with windows of ±12
months and T-7 + T. The results show that the subsequent stock
market liberalization generally, gives minor positive effects to stock
returns, except for one or two countries. The subsequent
liberalization also integrates the markets short-run and long-run.