Your connection is quite literally electrons flowing through copper wire. Sometimes photons running through a glass filament. So, naturally, that would take some time longer to go longer distances. Add in that, the further you are, the more likely you'll have to pass through more routers and switching centers, each adding their own processing time into it. If you're accross an ocean, you're either running through something like the TransAtlantic Cable or up to a satellite and back, further delaying things.
So, yes.