The Stock Market Is Witnessing Heightened Activities Andis Increasingly Gaining Importance. In the Current Context of Globalization Andthe Subsequent Integration of the Global Markets This Paper Captures Thetrends, Similarities and Patterns In the Activities and Movements of the Indianstock Market In Comparison to Its International Counterparts. This Study Coversnew York Stock Exchange (Nyse), Hong Kong Stock Exchange (Hse), Tokyo Stockexchange (Tse), Russian Stock Exchange (Rse), Korean Stock Exchange (Kse) Fromvarious Socio-Politico-Economic Backgrounds. Both the Bombay Stock Exchange (Bse) and the Nationalstock Exchange of Indian Limited (Nse) Have Been Used In the Study As a Part Ofindian Stock Market. the Time Period Has Been Divided into Various Eras to Testthe Correlation Between the Various Exchanges to Prove That the Indian Marketshave Become More Integrated With Its Global Counterparts and Its Reaction Arein Tandem With That Are Seen Globally. This Paper Examines the Nexus Betweendomestic and Foreign Financial Markets Viz. Indian and U.S. Moneymarkets, Equity Markets and the Common Market For Currency. We Estimatevolatility, Spillovers-Both In Returns and In Volatility, Andcross-Correlations In a Multivariate Framework For the Financial Markets. Weutilize Weekly Data from June, 2000 to September, 2011 to Model Theinteractions Among the Markets Using a Var(1)–Mgarch2(1,1) Bekk Framework. Weformulate an Alternative Var(1)–Mgarch(1,1) Ewma Model to Examine Therobustnes ...