This research presents a detailed comparative time series analysis of four major global stock indices: The screening is done on the S&P500 of USA, DAX of Germany, FTSE100 of UK and NIKKEI of Japan. Based on daily closing prices up to 1994 through the present the study seeks to examine the behavior and characteristics such as volatility, correlation and the risk adjusted returns for each index. The analysis in this research uses descriptive statistics, correlation analysis, and the Sharpe ratio with the aim of discovering more about the nature of these indices, and their behavior when one or several of them are included in the calculation. The breakdown depicts that S&P500 has a remarkable growth with comparatively less risk whereas DAX has higher returns but with high risk and NIKKEI have an immense of fluctuation risk just like Japan’s economy. The findings of this study are important for the issues of portfolio diversification and international investment policies and provide a clear picture of the relationship between these significant financial markets. The last section of this paper presents the implications of the study to investors and the recommendations for the research study.