Abstract
It has been observed that there has been increasing interdependence between most of the developed and emerging stock markets since the 1987 Stock Market Crash. This interdependence intensified after the 1997 Asian Financial Crisis. The objective of this paper is to examine the interdependence and co-movement betweenselected stock market of different economies between USA & European market, Asian & European market and Asian and USA markets by studying correlations in the index returns which will guide FIIs to invest in which type of international stock exchange markets. Thus, it will be conclude that all the Asian markets are moderately correlated, but China (Shanghai) has low degree of correlation with European market.