Abstract: This study explores the capital market efficiency of 5 countries in ASEAN economic community including Indonesia, Malaysia, Philippines, Singapore and Thailand during 2006-2012. Researchers investigate the R2 which represents the stock price synchronicity andfind that the Philippines stock exchange has lowest R2 and is more efficient than others in the same region. This contradicts to previous research results which find that R2 values of emerging markets are higher than the developed economies. From the overall regression estimates of ASEAN, researchers find that higher synchronicity stocks are larger and have higher volume but less leveraged. The regression results from individual countries confirm the relationship, except leverage which is mildly positive for the Philippines.