This study investigates whether importers of U.S. wheat form an integrated market or a series of segmented markets. Two market integration tests are applied: one based on equilibrium price relationships and one based on disequilibrium price relationships. With the exception of a few importers, both tests tend to agree. This study also seeks to explain the reasons for the wide divergence in prices paid by importers of U.S. wheat. We find that factors such as the class of wheat which is purchased and the size of annual purchases influence pricing. We also find that there continues to be large persistence difference in the prices paid by importers.