The capital markets of different countries have become more integrated in recent years, and shocks in one market often spill over into other markets. This is a well-established fact and it is the result of the process of globalization and international integration. This paper seeks to quantify this connection of international capital markets. The paper quantitatively examines the correlation of different capital markets by analyzing the correlation of stock indices of these capital markets. In order to show this, analysis of coefficients of linear correlations of stock indices, Engel-Granger cointegration test and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test are used. The results of the conducted empirical analyzes are not unambiguous. The linear correlation coefficients show that there is a positive relationship between the liquidity of individual markets and the correlation of their stock indices with the S&P index. However, the Engel-Granger and KPSS test do not show a significant relationship between market liquidity and cointegration of stock indices. The linear correlation coefficients show that a diversication of a portfolio is possible by investing in a less liquid market, but in order for this conclusion to be valid, further research is needed.