The recent liberalization of the economies of many developing countries and the subsequent withdrawal of the state involvement has made the need of producers and commercial traders of primary commodities to manage price risk more apparent. Futures contracts are the standard tools to hedge price uncertainty in developed countries. An important pre-condition for the well functioning and viability of futures markets is that the spot markets under consideration are well integrated. This paper examines the degree to which the world cotton market is integrated. One of the major findings is that there is some segmentation between U.S. and non-U.S. cotton markets as the speed at which price changes are transmitted within non-U.S. cotton markets is much higher that the speed of transmission from U.S. to non-U.S. cotton markets. This implies that non-U.S. producers and traders can best manage their risk through non-U.S. futures contracts. However, non-U.S. cotton markets are not as well integrated as the U.S. ones and hence the development of a non-U.S. futures contract may not be a feasible alternative to hedge non-U.S. cottons at present.