There is a substantial body of theoretical and empirical research on asset price comovement and determinants. The empirical analysis in this paper differs in that it incorporates a channel for cross-country comovement in asset prices as well in a set of proposed asset price determinants, across a sample of 9 OECD countries. A Bayesian dynamic factor model is utilised to isolate common, or ‘world’, and country-specific shocks in stock, bond, currency, and house markets and in variables representing monetary policy, fiscal policy, productivity, demand, relative commodity prices and macroeconomic sentiment. The results are used to gauge the degree of financial and economic integration. Individual asset returns are then regressed on factors extracted from the driving variables to examine the relative importance of the common and country shocks. Stock and bond markets in particular are found to be driven largely by shocks which are common across all countries and asset markets, though a country level cycle in returns is also evident. Together the world factors in the driving variables are found to be a relatively large source of shocks for all asset markets, with shocks to fiscal policy variables, productivity and sentiment appearing to underpin international linkages in asset return volatility. The country-specific component in relative commodity price growth is a large driving force for individual returns.