In the present paper, a fractional wavelet transform of real order α is introduced, and various useful properties and results are derived for it. These include (for example) Perseval's formula and inversion formula for the fractional wavelet transform. Multiresolution analysis and orthonormal fractional wavelets associated with the fractional wavelet transform are studied systematically. Fractional Fourier transforms of the Mexican hat wavelet for different values of the order α are compared with the classical Fourier transform graphically, and various remarkable observations are presented. A comparative study of the various results, which we have presented in this paper, is also represented graphically.