The foreign exchange controls imposed by Venezuela in 2003, constitute a natural experiment that allows researchers to observe the effects of exchange controls on stock market segmentation. This paper provides empirical evidence that, although the Venezuelan capital market as a whole was highly segmented before the controls were imposed, shares in the firm CANTV were, through its American Depositary Receipts (ADRs), partially integrated with the global market. Following the imposition of the exchange controls, this integration was lost. The research also documents the spectacular and apparently contradictory rise experienced by the Caracas Stock Exchange during the serious economic crisis of 2003. It is argued that, as was the case in Argentina in 2002, the rise in share prices was caused because the depreciation of the Bolivar in the parallel currency market increased the local price of the stocks that had associated ADRs, which are negotiated in dollars.