The purpose of this study is to investigate the cointegration of stock market returns within and between the developed, emerging and frontier Asian countries for the period 1995 to 2014. The sub-periods including 1997-98 and 2008 to 2011 (crises periods) and 1995-96, 1999 to 2007, and 2012 to 2014 (tranquil periods) are also investigated. Applying the ARDL cointegration approach, the evidence of significant linkage within and between these Asian countries is obtained, over the long-run. Further, the ECM or the VAR techniques for the short-run dynamics, the short-term causal relationships of stock market returns, between most of the sampled Asian stock markets, are also used. It is also observed that those pairs of countries which do not show the stock market returns cointegration in the periods of tranquil; exhibit cointegration in the periods of financial crises, due to contagion or spillover of asset prices. The outcome of this study would be useful for economists, policy makers and investors to assess the international shocks and improve risk management and increase their portfolio diversification benefits.