  The aim of this paper is to identify the determinants of international stock
markets integration. Intuitively we selected a great number of factors linked
to financial integration. Then, we developed an international asset-pricing
model with time-varying degree of integration. This model is estimated for 30
countries (10 developed countries and 20 emerging countries) using panel data
econometrics. In order to investigate whether the financial integration in
emerging markets and that in developed markets react differently to the
economic and financial innovations, we estimated the model as well jointly for
all markets as separately for developed markets and emerging markets. Our
results show that trade openness exerts a positive effect on financial
integration across all markets, the global factors drive integration in
developed markets whereas the factors related to economic and political
stability affect financial integration in emerging markets.
