The establishment of ASEAN was driven primarily by regional security reasons and further strengthened by their economic cooperation. Although it has been suggested that ASEAN should forge a greater financial integration, there are some reasons to believe that it may not be attainable in the near term, i.e. the segmented nature of ASEAN’s financial markets, varied level of financial developments in ASEAN members, and low-level of capital account liberalization. The objective of this paper is to propose what ASEAN should do with regards to the pros and cons of financial integration. Based on the discussion at financial markets development, capital markets, bond markets, and regional financial integration in ASEAN, we have proposed that each ASEAN member country should continue to develop its capital market to promote the efficiency of investment and boost the economic growth.