International correlations for stocks and bonds fluctuate widely over time. As previous studies have found, volatility appears to be contagious across markets. In addition, international correlation increases in periods of high market volatility. Although the correlation of individual foreign stock markets with the U.S. stock market has generally increased slightly over the past 37 years, it has not increased during the past 10 years. Similarly, the international correlation of bond markets increased in the early 1980s, but it has had no discernible trend in the past 10 years. The fairly low levels of international correlation among stocks or bonds suggests that national factors still strongly affect local asset prices. The link between correlation and market volatility is bad news for global money managers because when the domestic market is subject to a strong negative shock is when the benefits of international risk diversification are needed most.