Investors like you and me always seem to be one step behind. It could be because the game is rigged by the big Wall Street investment banks that have been compared to vampire squids and have been blamed for starving millions of little people.

Or it could be because we are looking in the wrong places. Investors have been mesmerized by markets like China and Singapore that have posted double-digit GDP growth this year, while the U.S. struggles to grow at a 3% clip.

Not so fast
However, if you chase these fast-growing economies with the expectation that strong stock returns will follow, you will be disappointed. Studies have shown that GDP growth and stock returns are actually negatively correlated, and what investors should be looking for is underpriced stocks.

With that in mind, I scanned the major stock markets around the globe to find the cheapest places to go shopping. My search returned South Korea, South Africa, and the United Kingdom as the least expensive markets in the world.

The footsteps of masters
Way back in 2007, none other than Warren Buffett revealed that he was interested in South Korean stocks because it was "modestly cheaper than other markets in the world." Well, a lot has happened in financial markets since then, but South Korea still looks like a relatively cheap market. The question remains: How should you invest?

Since we're already following Buffett's lead, one company to consider is POSCO (NYSE: PKX), one of the world's most profitable steel manufacturers. Although there are short-term fears of a Chinese slowdown hurting demand for commodities, POSCO's steel will be needed to build things like bridges, boats, and cars for years to come. On the other hand, if you want broad exposure to the South Korean market, the iShares MSCI South Korea Index Fund (NYSE: EWY) is an easy way to do it.

After the world leaves
The last World Cup vuvuzela has faded (thankfully) and Spain finally has something to cheer about, but now isn't the time to forget about South Africa. The games were a chance for South Africa to garner the world's attention and show off its new stadiums, trains, and roads, but there is much more to the story. Unfortunately, not all of it is good. Corruption, poverty, and crime are still very real concerns for Africa's largest economy.

These issues -- as well as uncertainty about the direction of prices for commodities, which are a significant driver of South Africa's economy -- have scared investors from the market. However, much like POSCO, the long-term demand for commodities is appealing, which makes getting in on South African stocks now a great idea.

One company that appeals to me is Sasol (NYSE: SSL), a world leader in converting coal and natural gas to oil. As oil becomes more scarce, countries rich in coal deposits like Indonesia, India, and China are looking for other ways to quench their thirst for oil. Sasol has the answer, and the strong cash flows to prove it.

For those investors looking for more of a full-market play on South Africa, iShares once again has you covered with the MSCI South African Index Fund (NYSE: EZA)

Long live the Queen
The U.K. is our third cheap market. Sometimes stocks and markets are cheap for a reason. Given the U.K.'s economic and budget issues, as well as the potential for further bank troubles, I'd steer well clear of any company that is closely tied to the British home market. Let's throw financials in that basket, too.

However, there are some high-quality companies that are truly global. Diageo (NYSE: DEO), the world leader in premium alcoholic beverages, gets 70% of its sales from markets outside Europe. Another good option is Unilever (NYSE: UL), the consumer goods giant, which gets over half of its sales from developing and emerging markets where the middle class consumer is just emerging.

iShares also has a U.K.-focused index fund, the MSCI United Kingdom Index Fund (NYSE: EWU), which holds several more multi-national blue-chip companies like these two, if you are looking for more variety.

The foolish bottom line
Whether or not you decide to investigate these companies and markets further (which you should definitely do before buying), take this lesson with you: Economic growth doesn't guarantee good stock returns. The best returns come from buying stocks when they are relatively cheap and unloved by the market.

Fool analyst Nate Weisshaar doesn’t own any shares. Sasol and Unilever are Motley Fool Global Gains recommendations. Diageo, Sasol, and Unilever are Motley Fool Income Investor picks. The Fool owns shares of Diageo. Try any of our Foolish newsletters today, free for 30 days. The Motley Fool has a disclosure policy.