Arif Billah Dar, Niyati Bhanja, Aasif Shah, and Aviral Kumar Tiwari. 2013. Stock Markets Integration in Asian Countries-Evidence from Wavelet multiple correlation and cross correlation. Journal of Economic Integration , Vol. No. :pp. (forthcoming) 1 Stock Markets Integration in Asian Countries-Evidence from Wavelet multiple correlation and cross correlation Arif Billah Dar Pondicherry University, Puducherry, India Niyati Bhanja Pondicherry University, Puducherry, India Aasif Shah Pondicherry University, Puducherry, India Aviral Kumar Tiwari* ICFAI University Tripura, India Abstract This study examines the integration in nine Asian stock markets using a new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Javier Fernandez (2012). This novel approach takes care of several limitations which are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in the set of stock indices. Our results show that Asian stock markets are highly