Using a market model of international equity returns, which fully incorporates the regime switching and heteroscedasticity effects, we conduct an empirical study on the asymmetric behavior of thirty-one emerging equity markets across the different regimes of both the global and local market. Asymmetric correlation is found to be much weaker than that among developed markets as documented in the recent studies. There is little evidence of performance enhancement by possessing information on asymmetric correlation in international asset allocation strategies involving emerging markets.