It seems as if national stock markets within certain groups of countries, for example within Europe and Asia, are interdependent. But to what extent are stock markets between these groups interdependent? Is it still possible to diversify among these groups, or have globalization tied world markets together to such an extent that diversification is no longer feasible? In this study we use time series techniques to analyze the interdependence among four of the most important groups of economies, namely Europe, Latin America, Asia and the US. This will show whether it is still possible to diversify between the stock markets of these groups of economies, since stock markets within these groups seem to be interdependent to such an extent that diversification within these groups is no longer possible. On a methodological level, we compare the results of the OLS-VAR with an FM-VAR model, which is a more robust estimation procedure in the presence of non-stationary or cointegrated series.