Increased globalization over the last two decades has led to strong growth in international business activity and international financial integration. This phenomenon covers a wide array of economic activities, including international trade, and international financial shocks and disturbances. The purpose of this work is to examine the effects of external shocks on financial integration in the Arab Maghreb countries using multivariate threshold VAR estimation with data from 1990 to 2012. Results find that external shocks affect negatively Maghreb countries and impede the implementation of financial integration project. However, this vulnerability to shocks can reduce if these economies intensify financial and commercial transactions between them.