The financial integration of Southeast Asian markets has been an important research topic. Due to recent global developments in financial markets, the behaviours of these emerging markets are gaining much interest. This research paper empirically analyses stock market integration of international portfolio diversification across some Southeast Asian countries, namely, Indonesia, Malaysia, the Philippines, Singapore and Thailand (ASEAN-5). The augmented Dickey-Fuller unit root test has been used to verify the static properties of market return of ASEAN-5 countries. An analysis of cointegration among these countries' market returns has been done using the Johansen Cointegration Approach. The co-movements among ASEAN-5 economies were analyzed through the Granger Causality test. Results of the Granger causality tests indicate interdependence among ASEAN-5 market returns. This suggests a co-movement among ASEAN-5 capital markets, but not all of these ASEAN-5 capital markets were fully integrated. This study also found that the Malaysia Stock Exchange, the Stock Exchange of Thailand, the Singapore Stock Exchange and the Philippines Stock Exchange were fully integrated, but Indonesia Stock Exchange was not. Essentially, this study provides insight for policymakers, portfolio managers, domestic and international investors, risk analysts and financial researchers to diversify their investment portfolios by combining assets from each ASEAN-5 country.