We define ‘integration’ for 2287 US banks from 1993–2019 as the explanatory power of common banking factors in explaining stock returns. Integration has risen steadily, and shows significantly high peaks during financial crises. This is worrisome, since a negative shock to common factors depresses sector-wide returns more intensely when the sector is tightly integrated. The Dodd-Frank Act has improved capital adequacy but has not arrested rising levels of integration. Further, banks’ current integration predicts their instability up to 4 quarters in advance; and during crises, past integration levels explain a healthy (6–7%) variation in US banks’ volatilities.