With gradually increasing interdependence of international political and economic environments, part of Asian countries' financial markets reform adopted progressive policies towards liberalization and internationalization. Therefore, the integration of international financial markets has attracted a bunch of scholars to investigate related topics of international stock market. Granger and (1993) documented that most of the economic variables have nonlinear characters. Chelley-Steeley (2004) uses smooth transition regression model to explore the financial market integration of regional and global markets among emerging and developed countries. Smooth transition regression model considered the possibility of nonlinear changes in regression parameters. This paper applies the smooth transition regression model to reinvestigate Chelley-Steeley¡¦s (2004) study of nonlinear relationship of stock markets among some East Asian countries and the United States, Japan and Germany. The main difference of our model and Chelley-Steeley¡¦ model is that we relax his constant market index correlation between two countries by allowing the autoregressive process on market index correlation. Empirical evidences of linear model, original non-linear model and our non-linear extension model show that our non-linear extension model outperformedthe other two models in terms of goodness of fit.