Association of South East Asian Nations (ASEAN) Economic Community (AEC) 2020 has already been declared on 7 October 2003 by ASEAN Concord II in Bali, Indonesia. In general, AEC was designed to prepare ASEAN countries for ASEAN economic integration within the next 10-15 year. ASEAN Free Trade  Area (AFTA)  had  actually  been  launched since 1992 though was not comprehensive enough and kept ASEAN only partially integrated. To overcome it, ASEAN proposed  inancial  integration  through  capital market  integration based on AEC commitment in order to reach comprehensive ASEAN economic integration. Indonesia is one of the  ASEAN  members  that  is  linked  by AEC  2020.  The  purpose  of  this paper is to evaluate Indonesian capital market co-integration in entering the ASEAN capital market integration compared to those of ASEAN 4. To examine the notion of the Indonesian capital  market  integration  within ASEAN  region, cointegration model  is  utilised  to  igure out co-integration between Indonesian stock market indices and ASEAN 4, i.e., Singapore, Malaysia, Philippines and Thailand. In addition, Vector Auto-regression (VAR) model is also utilised to examine Indonesian market returns co-movement and dynamic link with ASEAN 4.  The  conclusions  of  this  research,  i.e.  co-integration  between  Indonesian  capital  market with  Singaporean,  Malaysian,  Philippines,  and  Thailand  does  not  exist;  there  is  neither co-movement  nor  strong  dynamic  link  between  Indonesian  capital  market  with  those  of Singaporean, Malaysian, Philippines, and Thailand. This paper also recommends Indonesia to postpone the integration of its capital market into the integrated ASEAN capital market