Market integration has been increasing over time. The benefits of international diversification are limited in an environment of markets moving together. In this study, we look at the diversification benefits to an Indian investor if they invest a part of their money into other emerging nations and the USA. Using the asymmetric dynamic conditional correlation GARCH model, to estimate time-varying correlations, we find that international diversification provides better risk adjusted returns to the investors. However, the use of conditional correlations does not give better results than the unconditional correlations.