To promote and strengthen the economic development and financial system in today’s globalized world regional integration has become inevitable, in particular, regions where different nations share similarities in history, culture, trade and financial system such as, Africa. The purpose of this study was to examine the stock market integration among the African financial markets, in a regional setting.The stock markets of South Africa, Nigeria, Kenya, Morocco, Egypt and Tunisia was investigated. A bivariate GARCH-BEKK model was estimated using daily returns calculated by MSCI. The findings showed evidence of direct linkage between all the equity market, both in regards of returns and volatility, South African market seems the most integrated market in the region, while Kenya is found least integrated within the region. The results show that south, east and western Africa, representing, South Africa, Kenya and Nigeria are totally isolated to each other, while Egypt, Morocco and Tunisia, representatives of North Africa share common influences both in regards to returns and volatility. The results of this study clearly indicated the need of financial and economic integration within the region. Key words: GARCH – BEKK, volatility spillovers, integration, emerging Africa, diversification.