This paper investigates the time‐varying, long‐run and short‐run dynamic relationships between stock industrial sectors of the US and three leading emerging markets/countries: Brazil, Malaysia, and South Africa between January 2000 and December 2009. A crucial empirical contribution of the study is the application of the nonlinear econometric time series techniques for the evaluation of the long‐run global relationships and causality linkages. Further contribution is the application of industrial sector indices rather than national indices. The results of the time‐varying analysis reaffirm the view that relationships between global financial markets tend to be quite volatile over time and particularly high in a time of high financial turbulence. Overall, the relatively weak interdependence between the US and the emerging markets' industry sectors suggests potential diversification benefits for investors in diversifying their portfolio investment across industrial sectors of emerging markets. Copyright © 2014 John Wiley & Sons, Ltd.