NP, I was specifically referring to emerging nations with the corruption statement. I should have clarified. I hear a lot of people who want to invest in Chinese companies, because they keep reading about the amazing growth of the Chinese economy. Sometimes I hear people saying things about India. It doesn't take much research into who those investments would have done to show how erroneous it is to assume that a country's growth rate and the returns from that country's stock market go hand in hand.
The argument against investing in developed markets outside the US, like Europe, Canada, and Japan is weaker. The key points for me is that many US companies, especially large cap, are essentially multinationals, and by investing in the US total market you are inherently investing in the world market. The fact that the total US stock market has outperformed those of other developed nations (certainly over the 30+ years I've been investing) is another argument. Finally, for me, the whole point of diversification is to invest in vehicles that aren't tightly correlated. We can argue that stocks and bonds aren't really independent, and that REITs and equities are also hardly independent, but ultimately the correlation between the US stock market and the European/Canadian/Japanese is rather high.
Bottom line for me is that (1) investing in equities outside the US is more expensive, (2) these markets have scant history of significantly outperforming the US stock market, (3) foreign markets often carry substantially higher risk, and (4) they provide minimal real diversification. YMMV.