This study examines the relationships between three Northeast Asian stock markets of China, Japan, and Korea during the period between January 1, 2000 and September 30, 2010, with particular attention placed on the global financial crisis period. The findings of this study are as follows. Firstly, China is influenced more by regional markets rather than the global market. On the other hand, Japan is influenced more by the global market rather than regional markets. Korea has the most balanced level of integration between the regional and global markets. Secondly, a portfolio created through an integrated market in the region would result in a significant decline in the unsystematic risk of each country, benefiting both the investor and local economies. Thirdly, the recent global financial crisis has caused a shift in the pattern of integration in the region. All three countries show a higher level of integration with the global market after the financial crisis. Finally, for China, the global market risk has become even greater than the domestic unsystematic risk since 2010. Overall result suggests that the degree of integration among countries tends to change over time, especially around periods marked by financial crisis and there is a diversification benefit of integrated regional market.