I don't know if intermarket linkages are caused by global capital flows as much as psychology flows. I don't know how much international "hot" money there is sloshing around. I would expect that if it is significant, it's probably more likely to impact thin foreign markets (ie US money managers driving markets with US liquidity) rather than the reverse (ie international money managers driving US markets with international liquidity). Most of the world's public market capitalization is in the US (I think 40-50%?) and certainly a majority of global investable funds originate from and are controlled by US entities. But psych definitely plays a big role. I am originally from Singapore and I can tell you many people believe the local market closes up when the Dow closes up, although the correlation, in reality, is rather weak.
BlueHorseShoe To clarify : 40% correlation between close to close performance of SPX vs close to open performance of Asian index. The -1% correlation I refer to is close to close performance of the SPX vs close to close performance of the Asian index. So - you can't take an up day in the SPX and go long Taiwan at the open and hold into the close. There is a good chance (abt 40% correlation) it will open up, but where it goes from there is really uncertain (abt -15% correlation). Long winded way of saying that strength of the correlation is in the Asian open and quickly evaporates into the day - so you have to figure out how to surgically extract that.
All indices in the world are interconnected every second. Globex follows european markets although it is an appearance because it rather continues its cycle in synch with european market, I will perhaps explain that more in details one day. It is the consequence of what I said on my site http://www.econometric-wave.com in"Complements" paragraph: "On globex future contract behaves like spot without the spread between spot and future during RTH (regular trading hour). " So yes it can be interesting to take position on Globex except that it is illiquid but when there is a big trend it is interesting. Also often RTH will "replay" the globex session but in shortest time and with some truncation (which is linked to what I called Feynman-like effect see http://www.elitetrader.com/vb/showthread.php?s=&threadid=21973)