This paper looks at national CAPM results to see if efficiency increased in 10 European capital markets as the implementation of EMU approached. In any process of integration, national markets react, and changes in each of the national markets as well as across them occur. Our Chow test reveals that whereas advanced European countries show either stagnating or improving market efficiency, some southern European countries reveal degradation in market efficiency. This suggests that the effect of integration is not uniformly positive to member markets, at least in the short run, and that there might be a relationship between market efficiency and market development.