The economic liberalization took place in the year 1991, opened up wide range of opportunities to the industries, service providers as well as to the investors. Investors overcome the geographical boundaries to diversify their portfolio to foreign markets. So, it is highly important to understand the inter-linkages among the nations. The present study chosen the Brazil, Russia, India, China and South Africa (BRICS) consortium’s stock market indices to analyze the connectedness among them, by taking the daily closing price levels, from 1st of Feb 2015 to 31st of March 2021, applied descriptive statistics, Unit root test, Granger Causality Test and Johansen Co-integration tests are performed. The results unveil that, the data sample is stationary; there exists the inter-linkages among the BRICS nations stock markets. India’s stock market has major impacts on Brazil, China, South Africa as well as Russia, where as India will not receive major impacts from China, Russia and South Africa. Study concludes that diversifying the portfolio to foreign countries stock markets benefit the investors with increased returns and reduced risk. The study results helps the investors to diversify their portfolios into foreign stock exchanges to get stabilized returns understanding the relationship among emerging countries stock exchanges.