This study makes an endeavor to examine the existence of linkages between Saudi Stock Market Index (TASI) and the bigwig stock markets indices, namely, US, UK, Japan and Gulf Cooperation Council (GCC). Data are culled and collated on a weekly basis commencing from 01/07/2004 to 31/12/2008 for the Period-I (This phase cover substantial economic boom period in Saudi Arabia) and from 01/01/2009 to 31/07/2013 for the Period-II (This duration encapsulates major restructuring in the Saudi stock market sectors). Significant tests are employed in the study, namely, the Pearson Correlation, Unit root, Johansen Co-integration, and Pairwise Causality tests. The results have demonstrated that volatility of TASI returns have decreased over the years and the correlations between the stock markets have increased. Further, the study reveals that the stock market indices have integration traits. Similarly, numerous causations between stock markets indices have increased in the period-II. Therefore, these findings are pertinent for all investors at domestic and international level. Further the findings of the study shall sanguinely carve a niche on the literature domain of Saudi Stock Market Index (TASI).