Abstract: The financial stability objective of any financial system authority is to maintain confidence, and promote the safety and soundness of the domestic financial system. Financial stability has been defined as the resilience of the financial system in the face of adverse shocks to enable the continued smooth functioning of the financial intermediation process. The Kenyan Financial service providers are diverse and they include 42 commercial banks, 49 insurance companies, 12 deposits taking microfinance banks, and 199 registered savings and credit cooperatives (SACCOs). This paper examined financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and Capital Markets) in Kenya and the impact of this transmission on financial inclusion. The study evaluated the effect of intra-market linkages on financial inclusion using Bayesian Vector Autoregressive (BVAR) using monthly data from the Kenyan market during the period January 2004 - December 2016. Impulse-response analysis and forecast error variance decomposition were used to investigate these intra-market linkages and their causal effect to financial inclusion. Results show that there are significant market interactions and interlinkages with significant shocks transmission moving from banks to other markets. Interest rates shock transmission affected all markets. This means that monetary policy transmission as expected trickles down to the entire financial sector. The study also found out that, positive shocks from credit impacts positively on lending rate and the capital markets performance implying banking mechanism to reward increased loan uptake at cheaper prices and hence creating cash-flow that spills over to more investment on the Nairobi Securities Exchange. The study recommends that policy makers design policies that help minimize the adverse impact of volatility/shocks but create opportunities for growth on each market to foster price stability and increase investments through financial inclusion.Abstract: The financial stability objective of any financial system authority is to maintain confidence, and promote the safety and soundness of the domestic financial system. Financial stability has been defined as the resilience of the financial system in the face of adverse shocks to enable the continued smooth functioning of the financial intermediation process...Show More