The Indian Stock Market Is One of the Earliest In Asiabeing In Operation Since 1875, But Remained Largely Outside the Globalintegration Process Until the Late 1980S. a Number of Developing Countries Inconcert With the International Finance Corporation and the World Bank Tooksteps In the 1980S to Establish and Revitalize Their Stock Markets As Aneffective Way of Mobilizing and Allocation of Finance. In Line With the Globaltrend, Reform of the Indian Stock Market Began With the Establishment Ofsecurities and Exchange Board of India In 1988. This Paper Empiricallyinvestigates the Long-Run Equilibrium Relationship and Short-Run Dynamiclinkage Between the Indian Stock Market and the Stock Markets In Majordeveloped Countries (United States, United Kingdom and Japan) After 1990 Byexamining the Granger Causality Relationship and the Pairwise, Multiple Andfractional Cointegration Between the Indian Stock Market and the Stock Marketsfrom These Three Developed Markets. We Conclude That Indian Stock Market Isintegrated With Mature Markets and Sensitive to the Dynamics In These Marketsin a Long Run. In a Short Run, Both Us and Japan Granger Causes the Indianstock Market But Not Vice Versa. In Addition, We Find That the Indian Stockindex and the Mature Stock Indices Form Fractionally Cointegrated Relationshipin the Long Run With a Common Fractional, No Stationary Component and Find Thatthe Johansen Method Is the Best Reveal Their Cointegration Relationship. the Indian Stock Market Is Consi ...