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Below is a good set of graphs from a new paper showing how correlations have increased across equity markets in recent decades.

In each graph the top line is the correlation with developed markets, the middle line is with developed and emerging combined, and the bottom line is correlation with emerging markets alone.

The trend is steadily higher for most countries, with a few seeing serious spikes toward unity.

correlations

Source: Peter F. Christoffersen et al., “Is the Potential for International Diversification Disappearing?,” SSRN eLibrary (March 16, 2010) (here)

Source: Global Equity Markets: So Much for Diversification