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Recent decades, the development of global capital market is developing rapidly. Even the product offered are quite varied, ranging from conventional stock to shares using the sharia principle. At present, investor have many choices for investing in the capital market. For Muslim investor, this is an advantage where there are already traded product in the capital market continues to grow along with the times. This study aims to examine whether there is integration in the Sharia Capital Market in Asia. The data in this study are secondary data of Sharia Stock Index starting from 17 March 2017 to 14 October 2019. The method used is Vector Error Correction Model (VECM) with Innovation Accounting in the Impulse Response Function (IRF) and Forecasting Error Variance Decomposition (FEVD). The result of the study revealed that in the integrated Sharia Capital Market. In the long run there was integration between the Sharia Capital Market in Indonesia, China and India, except for Japan and Malaysia. Where in the short term only the Sharia Capital Market in China is integrated with the Sharia Capital Market in Indonesia.