Historically, country effects have been dominant in explaining variations in global stock returns, even in the developed markets, and investors have segmented their allocations accordingly. We set out to investigate whether this situation still prevails. We found a significant shift in the relative importance of national and economic influences in the stock returns of the world's largest equity markets. In these markets, the impact of industrial sector effects is now roughly equal to that of country effects. In addition to supporting the notion of increasing global capital market integration, these findings suggest that country-based approaches to global investment management may be losing their effectiveness.