This study tests the impact of financial globalisation on equity returns in Kenya using daily and monthly data between 2002 and 2019. First, the study measures the degree of integration of the Kenyan equity market represented by the NSE-20 share index with the world equity markets proxied by the MSCI World Index and the MSCI Frontier Index. The time-varying attributes of integration were studied using monthly returns in USD from January 2002 to December 2019. Based on multiple linear regressions, the study establishes that the NSE returns is partially integrated with the MSCI Frontier markets returns and MSCI World All Countries. The data analysis also showed that the MSCI Frontier index had a higher coefficient of determination relative to MSCI World All Countries. The NSE 20 returns had a weak negative relationship with economic openness and a weak, positive relationship with foreign investor participation, both of which are measured as global aggregates. The higher coefficient of determination between the NSE 20 with the MSCI Frontier index relative to MSCI World All Countries implies that there could exist different levels of stock market integration that can be attributed to the varying degree of Kenya’s trades with countries in Frontier markets compared to those in the developed markets. The findings of this study show that improving globalisation, represented by improved foreign investor participation and improving global trade is not of statistical significance while determining monthly NSE 20 returns.