The ASEAN Economic Community (AEC) will be shaped developing to be a single market and production base in 2015, moving towards regional Economic Integration, 2009. These developments in international financial markets do lead to some adverse cost for AEC country borrowers. The specific objective aims to investigate the dependent measures and the co-movement among selected ASEAN currencies. A Copula Approach was used to examine dependent measures of Thai Baht exchange rate among selected ASEAN currencies during the period of 2008-2011. Also, a Dynamic Copula Approach was tested to investigate the co-movement of Thai Baht exchange rate among selected ASEAN currencies during the period of 2008-2011. The results of the study based on a Pearson linear correlation coefficient confirmed that Thai Baht exchange rate and each of selected ASEAN currencies have a linear correlation during the specific period excluding Vietnam exchange rate. Furthermore, based on empirical Copula Approach, Thai Baht exchange rate had a dependent structure with each of the selected in ASEAN currencies including Brunei exchange rate, Singapore exchange rate, Malaysia exchange rate, Indonesia exchange rate, Philippine exchange rate, and Vietnam exchange rate respectively. The results of Dynamic Copula estimation indicated that Thai Baht exchange rate had a co-movement with selected ASEAN currencies. The research results provide an informative and interactive ASEAN financial market to all users, including Global financial market.