The ASEAN stock markets were studied to see how connected they are. Indonesia and Thailand have similar liquidity and volatility, showing they are somewhat integrated. These two countries are also most affected by international financial news, suggesting many foreign investors. While integration can increase liquidity, it also spreads liquidity risk among markets quickly. Integration in ASEAN markets changes over time, with the most stable period from 2005 to 2007. However, long-term integration is not consistent.