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This work investigates the short- and long-term joint dynamics of five developed stock markets and four emerging markets for the period from September 28, 2003 to March 15, 2018. Based on the panel cointegration approach and the FM-OLS method, the estimation outcomes reveal that the developed financial markets were already integrated before the outbreak of the subprime crisis. The results also show that the emerging markets were affected by the contagion effect produced by the subprime crisis, as the number of cointegration relationships increased during the post-crisis period. However, correlations between the American stock market and the developed stock markets remain significantly higher than those observed between the emerging markets and the American stock market. Moreover, the correlation peaks that followed the subprime crisis were temporary and did not eliminate the potential profits from international portfolio diversification. Finally, the crisis slowed down the speed of convergence toward the long-term correlation levels. JEL codes: C01, C1, C58, G15