We analyze the time-variations of conditional correlations between selected Latin American emerging markets
and between them and the World stock market to further shed light on the issues of capital market integration
and portfolio diversification. The cross-market correlations are empirically estimated from the Engle
(2002)´s DCC-GARCH model. Bai and Perron (2003)´s structural break analysis technique is also employed
to test for possibly changing nature of stock market comovements. Main findings of the paper are as follows.
First, the degree of cross-market comovements changed over time and has significantly increased since 1994
and onwards, which is to the large extent informative of increasing market integration. Despite the significant
interdependencies among the studied markets, room for international portfolio diversification nevertheless
seems largely possible. Second, it is demonstrated that the cross-market comovements are subjected to various
regime shifts due essentially to major stock market events. Finally, the purpose that stock markets move
much more together in times of crisis than in normal times can not be rejected according to our empirical evidence.