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 money market and capital market of Pakistan. Similarly, no evidence of cointegration is found between money market and exchange rate market and between capital market and exchange rate market of Pakistan. Whereas, domestic money market rates of Pakistan and USA are not cointegrated. Whereas, an evidence of cointegration between capital markets of Pakistan and USA is found in this study. Absence of cointegration between domestic and international money markets tells the investors to get an opportunity of risk diversification in short term trading of financial instruments.