The paper investigates the degree of sensitivity of international equity market returns, using MSCI indices as widely tracked global equity benchmarks of stock exchanges, traded throughout the world. In particular using a time-varying methodology, the research examines whether the returns of developed international stock exchange markets (Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the USA) are each associated with movements of MSCI World Index in order to see the level of bilateral influence between equity markets, affected by globalization processes. In this paper the author uses, first, the correlation analysis applied to stock exchange markets in order to highlight the dynamic of financial market globalization. Second, the author uses the estimation model of security markets convergence based on the bilateral differences of their returns, suggested and developed by Frazer (1994; 2008). The model contains the Kalman filter and, as a consequence, this model accommodates fundamental shifts in the bilateral relationships. However, there is no study where the Kalman filter methodology is used to examine time-varying convergence of international stock exchange market returns relative to MSCI World Index. The results of research show that all analyzed developed equity markets are moving toward greater integration in terms of increasing correlation. Moreover, all analyzed markets are interdependent and affected by globalization processes, showing strong and lasting relationships between each other. However, bilateral convergence of international equity markets is not an equal process, where different cluster of markets are engaged in different manners. Some of equity markets have less influence on other market' returns in global context, suggesting that bilateral convergence is not a homogeneous process. Furthermore, the findings suggest including industry portfolio diversification approach instead of geographical diversification in asset-allocation models.