Globalization and economic integration bring the stock markets closer around the world. The changing structures of international economies have substantial impact on the performance of stock markets world over. It becomes necessary to investigate the comovement of stock market returns among the world economies for better understanding the level of integration and dependencies among the countries. The current study analyzes the intra and inter-regional level comovement of stock market returns between the developed and emerging economies of America, Asia and Europe over the period 1988-2014. The study used the Error-correction-based panel cointegration model to analyze long-run equilibrium and short-run causality relationship between different equity markets. To confine the time varying behavior of comovements, the present study divided the whole period into sub periods i.e. tranquil periods (1988-1996, 1999-2006 and 2012-2014), the Asian financial crises periods (1997-1998) and global and European financial crises (2007-2011). Additionally, time varying correlation and non-parametric time varying panel data regression coefficients were also estimated to capture the extent of comovement and asymmetric impacts. The results of panel cointegration analysis revealed the strong evidence of long-and short-run cointegration of equity market returns between developed and emerging countries of America, Asia and Europe at intra-regional level. The results also exhibited strong cointegration relationships between developed-developed and developed- emerging countries at inter-regional level. But as concern to emerging-emerging economies, the analyses showed weak evidence regarding the long- and short-run cointegration between the stock returns of these markets. As concern to the sub-periods, no long-run cointegration relationships were found between any markets at inter-regional level during tranquil period 1988-1996. Further, the results revealed long term cointegration relationships between the developed and emerging equity markets of America, Asia and Europe during the tranquil periods of 1999-2006 and 2012-2014. Considering the Asian crises periods, the results provided evidence of cointegration only for the equity markets of Asia region. In contrast to Asian crises, all the developed and emerging equity markets of America, Asia and Europe viii exhibited strong cointegration relationships during the periods of global and European financial crises. To judge the extent of comovement, the time varying correlation at intra regional level showed that European countries exhibit the strong comovement of equity market returns compare to American and Asian equity markets. The inter-regional analyses revealed that developed-developed equity markets have strong comovements than developed emerging and emerging-emerging ones. To capture the asymmetric impact, the time varying regression showed that both the developed and emerging equity markets exhibit positive impact on each other. But the magnitude of impact of developed equity markets on the emerging equity markets was stronger than that of emerging on developed ones, revealing the leading nature of developed markets. The time varying analyses also revealed that comovement of stock market returns increases since the period of Asian financial crises, especially in the start of 21st century. The study also investigated the impact of political risk factors and economic fundamentals on the comovement of stock market returns. Pooled cross-pair time series regression has been estimated across the pairs of developed countries, emerging countries, American, European, Asian countries and for the entire study sample. The results showed that difference political voice and accountability, political stability and absence of violence, government effectiveness, rule of law have significant negative impact while regulatory quality and control of corruption have insignificant impact on the comovement of stock market returns. The results further showed that difference in economic growth, market size, inflation rate and interest rate have significant negative while bilateral trade has positive impact on the comovement of equity market returns. The results of this study have some important practical implications especially in terms predictability, portfolio risk management and asset allocation and measuring economic integration between different economies.