Resulting from the deregulation and prosperity of the economic and financial sectors in Asia during 1980s, a significant increase in cross-bordered financial transactions ultimately accelerated the region of Southeast Asia to be on a process of financial integration and consequently diminished opportunities for portfolio diversification. Financial Integration is a multidimensional process through which allocation of financial assets becomes lastly borderless. This purpose of this paper is to examine a progress thus far in capital market integration or preferentially, the co-movement of the equity markets between the U.S. and the Southeast Asian nations: Thailand, Indonesia, Malaysia, and the Philippines by employing the methodology of Gregory and Hansen Cointegration and Error Correction Analysis (ECM). The consequence of the U.S. market performance on each Southeast Asian national markets are extensively analyzed by decomposing monthly price-index time series into three distinct sub-periods based on an occurrence of the Subprime Mortgage Financial Crisis in 2007. The results indicate that these four emerging markets had been considerable influenced by the U.S. market performance, regardless of crisis or non-crisis periods. Nevertheless, some countries like Indonesia and the Philippines acted differently during the pre-crisis and crisis sub-periods respectively due to their domestic market infrastructure and regulation adjustment. However, these two markets had eventually turned to share an interdependent long-run relationship with the U.S. equity market since the ending of the Subprime financial downturn. Moreover, this finding suggests that ongoing capital market integration in the Southeast Asian region would mitigate portfolio diversification benefits for investors by virtue of increasing in correlation among securities and assets. Therefore, more exhaustive investigation about equity market integration is significantly beneficial in macroeconomic and financial perspective.