Purpose:The stock market performance is the function of the current and future level of economic activity. In view of this, the study examines the short-run and long-run association between Asian emerging stock markets and their economic fundamentals. Design/Methodology/Approach: The sample size of the study consists of nine Asian emerging stock markets namely

The increase in the extent of integration between global markets declined the opportunity for international portfolio diversification. This in turn created the hurdles amongst the investors and therefore recently they either prefer less correlated emerging markets or asset allocation at sectoral level. In view of this, considering Asian emerging markets at the forefront of portfolio diversification venue globally, this research aims at examining the linkages and portfolio diversification prospects across the oil sectors of eight Asian emerging stock markets. The study used VAR based Causality/Block Exogeneity Wald test and Forecast Error Variance Decomposition to investigate the data period of January 01, 2004, to August 31, 2019. The results exhibited a weak form of linkages between Asian emerging markets oil sector indices and therefore, it would be a great platform for the portfolio managers and investors to reap diversification benefits in this region.