The majority of international markets are down

If it seems as if the bottom is falling out of international markets, it isn't your imagination. Eighty percent of world markets were down over the past week.

Most stock markets in more than 60 countries have had a difficult week and two-thirds are down over the last two years. Greek stocks are at their lowest level since the 1990s, and the Nikkei in Japan has been closing in the red for over a week. (Some markets, such as Venezuela's, are up, but for all the wrong reasons.)

Of course, that's concerning we live in a global economy and the world's markets tend to move together. But some markets tend to move along with the S&P 500 more than others. Based on our analysis of stock market data in each country, the nearest neighbors to the U.S. tend to move with the domestic market market with a correlation coefficient of over 0.6. (A perfect correlation would be 1.0, no correlation would be zero, and negative correlation would be -1.)

European markets are also closely linked to ours, but markets in Asia and Africa tend to be less correlated. Some markets are more likely to move opposite ours, with slightly negative correlation coefficients over the last two years. Here's the data for 62 world markets compared to the S&P 500 (as of Thursday's close):

Sources: FactSet, CNBC calculations. Correlation coefficients calculated for daily returns over the last 2 years. Market data for each country is indexed to 100 in Feb. 2014. Percent changes are as of close of the US market on Feb. 11, 2016. All foreign exchange changes are calculated using local currencies and the US calendar.

While the S&P 500 is still up a little more than half a percentage point over the last two years, the world excluding the U.S. is down about 10 percent, based on the MSCI World Index. The outside world is down more than 5 percent over the last week, with Asia losing 3.6 percent and Europe dropping more than 6 percent.

Looking at the daily performance by region, the world as a whole (excluding the U.S.) is moderately correlated with the S&P 500, with a correlation coefficient of 0.57. Asia is at 0.27, and the emerging and frontier markets of Europe, the Middle East and Africa are around 0.44. The Americas as a whole are nearly perfectly correlated.

But while the day-to-day movement may not be strongly correlated in Asian or African countries, the overall trends for all regions still tend to follow a similar path. It's easy for concerns over the future of those economies to drag the U.S. down, too.

Nikkei extends losses with banks
Nikkei extends losses with banks