Capital market of a country works as a channel for creating demand and supply of the debt and equity capital. It’s always been a very important part of overall financial system of every economy. On one hand primary market helps raising the funds for long-term requirements of the corporates and institution and on the other, secondary market provides buying and selling the securities already issued in primary market and hence provide liquidity to investors. This paper made an attempt to investigate the inter linkages and inter relationships between Sri Lanka and India’s stock market. This paper made an attempt for investigating the inter linkages and interrelationships between India and Sri Lanka’s stock market. Colombo stock exchange and National Stock Exchange are two fully automated exchanges of South Asia and leading stock exchange too. Since Sri Lanka and India are not only neighboring Asian Countries but they also enjoy good economic and political relationship from years therefore this paper tried to identify scope of integration between Sri-Lanka and India’s stock market due to establishment of the long-term relations between both the countries. We applied ADF test for stationarity of data series and found stationary at first difference. Descriptive statistics showed NSE market provide a little higher return in compare of Colombo stock market. Correlation between the indices of India and Sri Lanka is coming out to be +0.545507. Testing results of Granger Causality explained that return at Colombo exchange does not Granger Cause return at Indian stock exchange and vice versa. Johansen Co-integration test also speaks about no co-integration between them. Therefore, even though good relationship exists between these nations still stock market of both the nations are not integrated towards each other. Moreover, we did not find any causal relationship and inter linkages between both the nations stock market.