Financial integration is actually a phenomena that interlinks the financial sectors of global economies. Economic theory suggests that financial integration helps to smooth the volatility of consumption. Pakistan has also gone through the process of financial integration during last three decades. The objective of this research is to investigate the long run and short run relationship between financial integration and consumption volatility. Using time series data from 1975 to 2017 by focusing on financial integration index treating consumption volatility as dependent variable. Through ARDL approach, it investigate the long run and short run relationship. The results of the study confirm the literature findings of the study denoting significant negative relationship between financial integration and consumption volatility. Therefore, economies like Pakistan, it is more important to integrate its financial sector at high level with the rest of the world. Supervisor:- Dr. Abdul Jalil