This study attempts to conduct an investigation of the characteristics of the South Asian stock markets including the effects of the opening of these markets. These markets were liberalised in early 1990s as a part of the economic reforms started in theSouth Asian region about two decadesago. Theanalysis isconducted for four countries in the South Asia, Bangladesh, India, Pakistan, and Sri Lanka, covering the period from 1980 to 2003. The analysis is done with the help of tables, regression analysis, Event Window analysis, and Error Correction Functions. The analysis indicates significant development in stock markets indicators such as market capitalisation and trading value in the region following liberalisation measures. However, the development in stock markets in South Asia does not seem to influence the real sector and the stock markets are still playing a minor role in their respective economies. The integration analysis suggests that the markets in South Asia are integrated with major markets, that is, of USA, UK, and Japan. There is clear evidence that the markets in India and Pakistan are affected by the major as well as the regional markets in the long run. In the short run, however, the markets appear to be independent of one another.