I got a refusal from Canadian embassy, there is no stamp on my passport, do I need to show my Canadian study visa refusal to the UK embassy for study visa?
My agent,however, recommends me not to show the refusal.
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You should disclose any relevant information, including any prior refusals. Your Canadian refusal may make it more difficult to get a UK visa, but consider the alternative.
Canada and the UK share immigration data under the Five Eyes treaty. You should assume that the UK already knows you have been refused. If you fail to disclose this fact then the UK may consider this to be deception and impose a ten year ban.
You should truthfully answer the questions presented to you in the visa application. You are not required to volunteer information which is not asked for. Thus, if Canada asks if you've ever been refused a visa, you must disclose it.
If you do not disclose it, and Canada already knows about the refusal (a very likely situation, for the Five Eyes reason described in the other answer), you will be denied for deception, and possibly banned as well.
Your agent is giving you bad advice.