You can take a look at this thread as well.
For my point of view all European Stocks together are like a paralel Usa market with lower correlation with US. in bull markets around maybe 0.35-0.50 ,and higher in bear ones around 0.80 , less sophisticated and with more smooth stocks. All will depend on your broker and where are you located. De Giro brooker for example have a lot stocks that IB doesn't reach, I don't know if De Giro is available from Usa. And as @yuvaltaylor pointed out each market have their own rules in terms stamp (if there are on it)etc.. . Advice: be more careful with turnover that in Usa or comissions and spreads will kill you