This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and emerging market economies.The results reveal that bond yields in advanced economies, which constitute the driving forces behind the global bond market, do not dominate in explaining the variation of emerging market bond yields. Instead, the dynamics in emerging market bond yields can also be attributed to movements in the equity markets in both advanced and emerging market economies as well as emerging market currencies. In addition, the degree of emerging market integration changes over time and across countries.