The rapid increase in the globalization of world financial markets and greater volatility transfer among the markets lead researchers to the exploration of factors that drive international financial integration and volatility. This study investigates extensively the integration of various segments of financial markets (i.e. money market, lending and deposit market, exchange rate market, and capital market) both domestically and internationally. Based on the results of cointegration analysis, it is found that domestic money market variables are integrated. There is no cointegration between...