World Federations of Exchange stressing the important role of retail investor. Exchanges need to focus on financial literacy as well as quality and quantity of retail participation in their markets. Development of technology and deregulation of investment in stock market arising the phenomena of retail investors. The breakthrough of ASEAN Exchanges integration is the establishment of ASEAN Trading Link in 2012. Recently, three exchanges already connected to this system and the retail investors in Malaysia, Singapore and Thailand have wider access to investment selection across the three countries. This study aims to provide answers to the long-known debate of the retail investor roles in the stock market by showing the significant role of retail investors for the stock market development in developing countries. In addition, the importance of cultural differences and income level to the retail investors and the stock market in ASEAN needs to be established. Data availability, lack of previous study and measurement problem might be challenges that relevant to discuss in order to development of this study.