We examine the impact of trading costs on investor average holding periods for the S&P global 1200 index. We report overwhelming evidence that global equity indices cannot be pooled. When we differentiate between stock indices based on their geographical location, we discover that for companies listed in the USA, Europe, Canada and Australia, there are no market frictions enabling continuous high frequency trading. However, companies listed in Latin America and Asia face significant barriers to trading in the form of transaction costs. We ascertain that the geographical location of stock markets plays a vital role in achieving international portfolio diversification.