ABSTRACT
Capital market integration is the process of eliminating boundaries between countries in allocating financial assets such as stocks, bonds, and cash. This article assesses the degree of capital market integration among the ASEAN-5 countries and China as in recent years China has proven to be a force to be reckoned with in terms of economic development and has built relatively good trade relations with the ASEAN-5 countries. This article is also taking into consideration phenomena that might have a significant impact on the fluctuation of stock return that will affect the degree of integration among these countries. One of the phenomena that is taken to consideration is the United States’ Presidential Election in 2016. This study resulted in the discovery of a significant degree of integration among Indonesia, Malaysia, Singapore, the Philippines, and China’s capital market, whereas Thailand’s capital market (SET) tends to be more segmented.
