Efficient market hypothesis and different performances between countries
Efficient market hypothesis does not in itself predict that stock market returns will equalize among different stock markets so it should not really be part of the question (efficient market hypothesis only refers to informational efficiency of markets). Rather this is something that would be predicted by trade/international macro models that predict factor return equalization (i.e. Rybczynski, Stolper-Samuelson, and factor-price
equalization theorems).
These theories would predict equalization of expected returns to capital due to capital flows between countries. If a country's stock market performs better than some other country capital should flow from the worse performing country to the better performing country until supply and demand for capital equalizes expected returns.
However, in real life expected returns wont always be equal even if they will exhibit tendency to equalize. As you mentioned in your question this can be due to various institutional reasons (Schularick, &amp; Steger, 2008), but it can also be due to imperfect capital mobility, due to market failures, some investments might be geographically specific and so on. The literature on this is extremely broad I suggest looking for keyword factor price equalization on google scholar.
Furthermore, note that link you provided from that site just shows nominal ex post observed returns from stock markets between different countries. That in itself does not actually provide any evidence that ex ante expected returns are not equal between those countries.