When you sell, you get paid in that country's currency, and you then must convert that currency back to your currency, at the going exchange rate. In some cases, the change in currency values can be more significant to your total return than the actual appreciation or depreciation of the particular stocks you purchased. If X strengthens against another currency, you lose on the currency exchange because each unit of foreign currency translates into fewer Xs. Currency risk isn't the only worry. Investing directly in international markets can be prohibitively expensive and inconvenient if you try to do it alone.
Fees sometimes are high and there are many delays in transferring funds.
After you decide which country is best for you, the only question is how much money you want to invest.