Abstract: Post-liberalization in 1980s many Asian markets have become an attractive portfolio diversification destination to the international and US investors. This raised research interest on these markets specifically in issues of co-integration and dynamic linkages. Here, I have taken sixteen Asian stock markets including representatives from SAARC, ASEAN and MENA and both developed and emerging ones under one panel along with the US market to investigate long-run co-integration and short-run dynamic relationships for the overall study period (January, 2005-June, 2012) and in pre-, during and post-crisis sub-periods. To fulfill my objectives, I have used graphical presentations, descriptive statistics results, ADF and PP tests, Johansen and Juselius’s co-integration technique and sign and size of vector coefficients, Granger’s causality and impulse response function analysis to investigate long-run integration and short-run dynamic linkages and variance decomposition analysis to examine volatility transmission impact. Results show time-variant degrees of cointegration in between the Asian and US markets. India is undoubtedly one of the strongest contenders to attract most of the foreign inflows as it shows positive market returns overall and during-the-crisis period also. This study would support the international investors, especiall, the Indian and US ones and their investment consultants and others to prioritize their portfolio diversification strategies in similar future periods.