If you are from a developed country (ie large middle class with disposable income) then you will get the highest conversion from the country you are in.
ie, if you are from USA you will get highest conversion from USA. if you are from the UK you will get highest conversion from UK
People are bit patrotic and will generally buy from their own country, first. That's why it is important to do geographic profiling and serve up the customer with webpages that are geared towards the customer country of origin.
I think shipping is definitley an issue. Being in Canada all of my personal purchases from the States get dinged at least $34.35 for duty. Thats steep if your buying a $60 jersey. As a Canadian comparison shopping site one of our requirements is that our merchants ship FROM Canada to prevent this.