Аннотация:This research investigates whether financial markets of BRICS and developed countries provide benefits from international diversification. This problem has been covered by a huge number of researchers, which works has been analyzed for this work, but it is interesting for investors to know, whether diversification between this countries is still beneficial or not. Japan, USA, Great Britain and Australia were taken as developed countries. According to the strategy of the research, it consists from the following techniques: Unit Root test, Co-integration models, Descriptive and Correlation analysis, Impulse response function, Kalman filtering time varying parameter model, Variance Decomposition model, Error Correction Model, DCC GARCH (1,1) model, Matrix Approach. To talk about data wweekly last price data for the 15-year period was used for this study. MSCI Index for each country was taken as a TimeSeries to analyse. The result of this research paper indicated that particularly nowadays situations is that international diversification is profitable the conclusion is based on empirical proofs that pointed that nowadays linkages between BRICS and developed countries are rather low, what is good for the investor to pay attention to.