SUMMARY
Donald Trump’s victory as the 45th President of the United States had negative responses on several countries in Asia, especially on the stock market performance. This study examines the integration of capital markets in several countries in Asia and United States after Donald Trump's inauguration. The data used in this study are the daily closing price of each index consisting of China (SSEC), United States (Dow Jones), Indonesia (IHSG), Japan (NIKKEI 225), India (NIFTY), Singapore (STI), Malaysia (KLSE), South Korea (KOSPI), the Philippines (PSEI), and Thailand (SETI) from January 21, 2017 to December 31, 2019. The analysis tools used were Vector Auto Regression (VAR) and Granger Causality Test. The results of the VAR test in this study indicate that the Dow Jones Index influences changes in index prices in the Asian region. In line with the results of the VAR test, the Granger Causality test in this study shows a direct causal relationship from the Dow Jones index to all indexes in the Asian region.