Guesmi K. auteur aut IRD Moisseron Jean-Yves auteur aut IRD Teulon F. auteur aut IRD text journalArticle eng text/pdf born digital access This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal variations in both regional and local sources of risk. Using data from seven major countries of the Middle East North Africa (MENA) region (Turkey, Israel, Egypt, Jordan, Syria, Kuwait and Tunisia), our results support the validity of ICAPM and indicate that the risk is regionally priced. Furthermore, we show that changes in the degree of regional stock market integration are explained principally by inflation, exchange rate volatility, rate spread variations, short-term interest rate and world market dividend yield. specialized Multivariate GARCH Intra-regional integration CAPM (capital asset pricing model) TURQUIE ISRAEL EGYPTE JORDANIE SYRIE KOWEIT TUNISIE 094 28 204-212 2014 1042-4431 https://www.documentation.ird.fr/hor/fdi:010061425 10.1016/j.intfin.2013.10.005 1042-4431 [F B010061425] https://www.documentation.ird.fr/hor/fdi:010061425 https://www.documentation.ird.fr/intranet/publi/2014/01/010061425.pdf Accès réservé (Intranet de l'IRD) IRD - Base Horizon / Pleins textes 2014-02-05 2017-08-23 fdi:010061425 fre