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"Penelitian ini bertujuan untuk mempelajari keadaan ekonomi regional dengan cara menganalisis hubungan timbal balik antar indeks harga saham dan nilai tukar di masing-masing negara ASEAN 5 untuk mempelajari teori Flow Oriented Model dari Dornbusch dan Fischer (1980) dan teori Portofolio Balanced Effect dari Frankel dan Branson (1983). Selain itu, penelitian ini juga bertujuan untuk melihat derajat integrasi internasional antar kelima pasar modal di ASEAN 5 yaitu Indonesia, Malaysia, Singapura, Thailand, dan Filipina menuju Asean Economic Community (AEC). Granger Causality Test dan Johansen Test merupakan metode yang digunakan dalam penelitian ini dengan menggunakan data harian dari Januari 2004-Desember 2014. Hasil penelitian menemukan bahwa terdapat hubungan timbal balik antar indeks harga saham dan nilai tukar di beberapa negara ASEAN dan tidak terdapat kointegrasi antar keduanya, serta tidak ada derajat integrasi antar pasar modal dari kelima negara tersebut. Kemudian dilakukan pengujian kembali dengan menambahkan pasar Amerika Serikat untuk melihat potensi hubungan internasional, dan ditemukan terdapat satu vektor kointegrasi yang berarti ASEAN terkointegrasi dengan pasar yang lebih besar.

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The research aims to study the state of the regional economic by analyzing the reciprocal relationship between stock price index and the exchange rate in ASEAN 5 countries to learn the theory of Flow Oriented Model of Dornbusch and Fischer (1980) and the theory of Portofolio Balance Effect by Frankel and Branson (1983). In addition, this study also aimed to look the degree of integration between the fifth international capital markets in ASEAN 5 namely Indonesia, Malaysia, Singapore, Thailand, and Philipines towards the Asean Economic Community (AEC). Granger Causality Test and Johansen test is the method used in this study using daily data from January 2004-December 2014.

The study found that there is a reciprocal relationship between stock price index and exchange rate in some ASEAN countries and there is no cointegration between them, and no degree of integration between the capital markets of five countries. Then this study adding the United States market to see the potential of international relations, and found there is a significant cointegration vector its mean that ASEAN cointegrated with larger markets."

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