Financial markets are globalising worldwide. International investor engagement, technological innovation, and the reduction of cross-border capital movement hurdles in most nations are globalising domestic stock markets. International portfolio investors seek diversity in emerging stock markets. Since the global crisis, investors are seeking higher returns in these economies. This growing international financial integration stresses the importance of understanding and forecasting stock return connections and volatility transmission across stock markets. Several studies estimated integrated market costs. Integrating financial markets eliminates diversification opportunities. Integrated markets also have substantial financial shock transfer. Srivastava, Bhatia, and Gupta4 stated that greater stock market linkages caused the enormous and long-lasting effects of 1997 Asian crisis and 2007 subprime. Bae and Zhang1 also suggested a negative relationship between stock market integration and crises. They suggested two crisis-related financial losses. Foreign investors' rapid withdrawal from integrated markets. Second, financial contagion in a crisis will cause the integrated market to lose more.