The purpose of our research is to study the impact of financial crisis on Risk premium evolution for a set of emerging countries of MENA (Middle East and North Africa), giving special attention to the appreciation of the local risk premium in addition to the currency risk premium through the study of the dynamics of the financial integration under two assumptions: perfect integration and partial segmentation. At the methodological level, we test a conditional version of the international model of the financial assets ICAPM of De initially proposed by Adler and Dumas 1983 [Adler, M., & Dumas, B. (1983). International portfolio choice and corporation finance: A synthesis. The Journal of Finance, 38(3), 925-984.]. Our analysis is based on the conditional model of regime change of Bekaert and Harvey (1995) [Bekaert, G., & Harvey, C. R. (1995). Time‐varying world market integration. The Journal of Finance, 50(2), 403-444.], we follow the econometric modeling using the Kalman filter and the Markov regime-switching model with variable transition probabilities.