Yes it does, at least according to a recently released report [PDF] by the Business Software Alliance (BSA) which basically correlates data on the known piracy rates for particular countries and their malware infection rates, using public sources.

http://blogs.zdnet.com/security/?p=4605&tag=col1;post-4605

Report: http://global.bsa.org/internetreport2009/2009internetpiracyreport.pdf

Urs