Capital market integration is a topic that attracts a lot of research interests in regional andinternational capital markets. Unfortunately, the various studies that have been donetend to use analytical tools that have not been able to conclude the degree of capitalmarket integration quantitatively, hence a study that is able to measure the degree ofcapital market integration quantitatively is required. This study investigated the capitalmarkets integration in ASEAN by using the Orthogonal Generalized Autoregressive ConditionalHeteroscedasticity (OGARCH) method which could provide the degree of integrationquantitatively. Capital markets studied were Indonesia Stock Exchange, KualaLumpur Stock Exchange, Thailand Stock Exchange, Singapore Stock Exchange and PhilippinesStock Exchange during period of January 2001 – December 2016. The result ofthis study was there was a co-movement among ASEAN capital markets studied, but notall these ASEAN capital markets were fully integrated. This study also found that IndonesiaStock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange Thailand, andSingapore Stock Exchange were integrated but Philippines Stock Exchange was not. ThePhilippines Stock Exchange tended to be segmented rather than integrated.