This study examines the level of integration of the global equity markets and the possibility that segmentation risk is a significantly priced factor in international returns. The findings are that emerging markets and developed markets place different prices upon many global risks. Segmentation risk appears to be a significantly priced risk in international asset returns. In CAPM and International CAPM investigations, the prices of global market beta risk and exchange rate risk are found to be statistically significant. Hypothesis tests verify that the emerging market and developed market returns place different prices upon the global APT risks taken jointly. Segmentation measures are investigated as priced risk factors in international equity returns. At the country-return level, segmentation is found to be a significantly priced risk factor. Furthermore, a global average segmentation measure is found to be a significantly priced global risk factor in the APT model. Segmentation appears to be not only a country-specific factor, but also one that evolves on a global level.