Modern portfolio theory stipulates that an investor can reduce systemic risk simply by diversifying its assets across national boundaries. Therefore, the issue of whether stock markets are cointegrated carries important implications for portfolio diversification. This study aims to identify and model a relationship between four equity markets namely, Turkish, European, North American and emerging markets using cointegration technique. We investigated the existence of cointegrating equation between four stock market indices and also the existence of a structural break. During our investigation, we constructed a vector error correction model (VECM) to observe short and long run relationships between the four markets. We used daily data from the October 23, 1995 until November 20, 2009 and relevant Morgan Stanley Capital International (MSCI) indices, namely MSCI Turkey, MSCI North America, MSCI Europe and MSCI Emerging Markets. Our first finding was that the Turkish equity markets are cointegrated with European, North American and emerging markets indicates that investing in the Turkish equity market does not provide an opportunity for risk diversification for international investors in the long run. It is only possible to benefit from the discrepancies which may occur in the short run. Furthermore, we identified a structural break contemporaneous with crisis of November 2000.