The economic liberalization in most of the ThirdWorld countries during the 1980s and 1990s led to greater integration of their domestic financial markets with the global one, paving the way for enhanced flow of capital. It may be noted that financial integration refers to the extent the domestic financial markets are connected to each other at the domestic, regional, or international levels (Agénor, 2003; Ayuso & Blanco, 2001; Fahami, 2011; Worthington & Higgs, 2010). There are two approaches to measure the level of financial integration, namely de jure and de facto. The de jure approach measures financial integration by counting the relaxed number of legal restrictions that otherwise constrain the flows of capital, though mere this action does not indicate actual degree of integration, as only removal of restrictions on capital flows may not ensure a growth in capital flows. The de facto approach, on the other hand, measures the actual financial integration either by measuring the actual cross-border capital flows or by measuring the convergence of prices of financial assets. The “law of one price” is used as the theoretical background to measure financial integration in price-based measures. Under this law, given the risk, greater financial integration leads to greater convergence of prices of assets of similar nature. Thus, convergence of asset prices between countries can be used to measure the degree of financial integration, while quantitybased measures use actual financial flows and cross-border assets holding to measure financial integration (Park, 2014). The present article uses price-based de facto measures of financial integration for measuring the financial integration among the equity markets of Brazil, Russia, India, China, and South Africa (BRICS). Interestingly, a financial market is a very huge and highly heterogeneous domain involving variety of components such as bond markets, equity markets, and money markets which vary from one to another in terms of risk and liquidity. With this heterogeneity, it is very difficult to measure financial integration by taking the entire financial market and estimating the convergence of asset prices of various segments (RBI, 2007). The present study, therefore, measures only the convergence of asset prices of equity markets of BRICS as representative to the whole financial markets of BRICS.