Right or wrong you need to do what is best for you. Ideally I guess you would like to hand in your notice BUT this is not always possible.

I think it depends on how long you have been with your current employer. If it's early days, you can walk. What, in reality, can they do if you leave the country? Unless you amass large debts it is not worth the time and trouble.

You know your own circumstances so do what is best.