U.S. and Latin American stock market linkages

► We estimate dynamic conditional correlations to model equity co-movements between the U.S. and Argentina, Brazil, Chile, and Mexico. ► We then apply a smooth transition model to find dates and durations of transitions when greater co-movement occurred. ► Brazil had longest transition and Argentina the shortest. ► Mexican equities had the greatest co-movement with U.S. equities but showed the smallest increase since 1988. ► Argentina and Chile showed the least co-movement.