Equivalence relation on not equal sets

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Can we define an equivalence relation $R$ which is a subset of $A×B$ on $A$ and $B$, if $A$ is not equal to $B$?

My guess is no. Because $(x,x)$ will not be in $R$ where $x$ is an element of $A$ (i.e. not reflexive).

Or are equivalence relations only defined on a single set?