This paper analyses the degree of financial interdependence among Asia financial markets including Korea, Japan and China as well as ASEAN countries by dealing with the data through 2001~2013. The empirical results such as the cointegration and Vector Error Correction Model show that most countries respond significantly to shocks from other markets. In Asian Markets, China, Hong Kong, Japan, Korea, Singapore and Taiwan had appreciable impacts on other markets and those shocks were transmitted to other markets for 1 or 2 months. Variances Decomposition shows that Most Asian stock markets are appreciably influenced by each other at every six month ahead, especially by China. Korea has appreciable impacts of its own Korean innovations at every six month ahead. By contrast, the impulse responses of China and Japan to the other Asian markets were relatively small.