Asia`s first Export Processing Zone (EPZ) was set up in Kandla.

Option 1: Santa Cruz- Santa Cruz is not the correct answer as Asia`s first EPZ was not set up there.

Option 2: Kandla- This is the correct answer. Asia`s first EPZ was established in Kandla. An EPZ is a designated industrial area where companies can import raw materials and export finished goods with various tax benefits and incentives.

Option 3: Cochin- Cochin is not the correct answer as it is not the location of Asia`s first EPZ.

Option 4: Surat- Surat is not the correct answer as Asia`s first EPZ was not set up there.

In summary, Asia`s first EPZ was established in Kandla, making option 2 the correct answer.