Growth of a country is dependent upon several factors like economic condition, financial environment, institutional infrastructure and also most importantly the growth of Industries in the country and growth of the industries is basically depended upon climate of capital market of the country because this market actually provides an element which is most important for the success and failure of every industry i.e., funds. The present paper tries to analyse the scope of financial integration between Indian stock market (NSE) and Japanese stock market (Tokyo Exchange) by taking daily closing index of NSE and TSE. This paper further made an attempt to explore existence of dynamic interlinkages and causal relationship between the Indian Stock Market (NSE) and Japanese stock market (Tokyo Exchange). Tokyo Securities Market being 4th largest exchange in the global stock market and the largest in Asia too. In line with this, India is also having sophisticated stock exchange which is National Stock Exchange. It is the finest and most advanced and automated exchange of the world too which is ranked 12th in the world. We applied ADF test for stationarity of data series and found stationary at first difference. Descriptive statistics showed NSE market provide little bit higher returns than TSE market. Correlation between NSE and TSE indices is coming out to be +0.804784. Testing results of Granger Causality explained that TSE Ganger causes return at NSE and NSE also Granger causes return at TSE. We examined Co-integration and found a cointegration relationship between NSE and TSE. Therefore, during the study we found an evidence of financial integration between the market of India and Japan