In the last two decades, emerging stock markets have become less segmented from world stock markets. The average annual decrease in segmentation of 0.055, on a [0,1] scale, reduces the cost of capital (measured by dividend yields) by about 11 basis points, and reduces stock returns by about 4.5%. The decline in expected returns is due to a decrease in two types of segmentation. A fall in local segmentation accounts for about 2/3 of the decline in expected returns. The remaining 1/3 is due to a fall in the level of segmentation of the region. These results, which we document for 30 emerging markets, are robust to the addition of control variables.