The correlation between the capital market of G20 member countries is important to analyze.Depending on a country’s economy, capital market integration may have different effects. A more intensebilateral relationship (trade intensity) can significantly affect the movement of capital market sharesbetween countries. The current research used the Multivariate GARCH Model/DCC-GARCH method. Thecondition of capital market integration before the Indonesian G20 Presidency showed that Indonesia(JKSE) had the strongest integration with Australia (ASX) (0.563814) and South Korea (KOSPI) (0.542470).After the G20 presidency, Indonesia (JKSE) had the strongest capital market integration with India (NSE)(0.507229) and the USA (NYSE). It was also found that China (SSE) had an integration with South Korea(KOSPI), while Germany (DAX) and Australia (ASX) had an integration with the UK (FTSE100). Theconclusion is that the higher autocorrelation, the higher the effect of the volatility of stock marketmovements in the two countries involved. Furthermore, capital market integration can be influenced bygeospatial and economic relations.

The correlation between volume and frequency with return volatility can explicate the information distribution process and informed traders' transaction behavior in a stock market. In this study, the Indonesian stock market represents the mixed market, while the Saudi Arabian stock market represents the Islamic market. We find that 94% and 96% of sharia-compliant stocks in Indonesia and Saudi Arabia follow the Mixture of Distribution Hypothesis (MDH). Consequently, we may conclude that sharia-compliant stocks in both markets are informationally efficient. However, we find that informed traders tend to behave differently in both markets. In the Indonesian market, informed traders exhibit competitive behavior in 95% of shariacompliant stocks and strategic transaction behavior in only 5% of the stocks. In contrast, in the Saudi Arabian market, we find that informed traders exhibit competitive behavior in only 38% of the stocks and strategic behavior in 62% of the stocks. The findings suggest that social and religious contexts may affect market participants' behavior.