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This paper examines if the Indian stock market moves with other markets in Asia and the United States in an era of capital market reforms and the sustained interest of foreign investors in that market. By using techniques of cointegration, vector autoregression, vector error-correction models, and Granger causality, we find that, though there is definite information leadership from the U.S. market to all Asian markets, the U.S. indexes do not uniquely influence the integration of Asian markets, while Japan is found to play a unique role in the integration of Asian markets. The U.S. market is seen not only to influence, but also to be influenced by information from most of the major Asian markets. The Indian stock return in recent times is definitely led by major stock index returns in the United States, Japan, as well as other Asian markets, such as Hong Kong, South Korea, and Singapore. More important, returns on the Indian market are also seen to exert considerable influence on stock returns in major Asian markets. [ABSTRACT FROM AUTHOR]