<p><em>Financial liberalization conducted by many Asian countries has initiated significant growth in financial transactions and flow of funds in International financial markets hence increases the linkage between emerging stock markets with developed stock markets. The 2008 crash in the US stock markets has been the cause of the downslide in many stock markets in Asia along with outside Asia.However, this linkage indicates that international diversification cannot be implemented among these countries. This research aims to investigate the dynamic linkage of stock markets in Indonesia, Malaysia, South Korea, Hong Kong, and The US by applying the co-integration approach during the period of crisis and after the global economy crisis of 2008. Empirical result shows that Indonesia, Malaysia, South Korea, Hong Kong, and the US stock markets are co-integrated during and after the crisis. This empirical finding has important implications for the management of an international portfolio in the establishment of a stock portfolio in the Indonesian, Malaysian, South Korean, Hong Kong and the US stock markets. The result of this study shows that investors cannot get benefit if doing international diversification among the five stock exchanges. However, in the short term it is possible to obtain an excess return.</em></p><p> </p>