Stock market liberalization policies were introduced in Malaysia, Thailand, Indonesia, and South Korea after the 1997 Asian financial crisis. The impact of increasing foreign ownership on stock market returns was studied from 1997 to 2009. The results suggest that subsequent stock market liberalizations did not significantly improve stock market returns. However, they also did not have no effect on stock market returns. There is weak evidence of long-term stock market integration between the four Asian countries and the world market, but short-term integration was observed.