This paper analyzes prices and returns for seventeen stocks which are dually listed on the Tokyo and New York Stock Exchange. The empirical results indicate that the Japanese capital market is not segmented. Rather, it is fairly well integrated in a world context. Specifically, it is shown that (1) changes in the yen/dollar exchange rate is the primary factor for explaining differences in returns for the dually listed securities, and (2) a secondary factor is changes in return for the security's market of origin, not simply the market of trade. In addition, a cluster analysis indicates that there is no segmentation even on a macro-scale.