  This article studies the financial integration between the six main Latin
American markets and the US market in a nonlinear framework. Using the
threshold cointegration techniques of Hansen and Seo (2002), we show
significant threshold stock market linkages between Mexico, Chile and the US.
Thus, the dynamics of these markets depends simultaneously on local and global
risk factors. More importantly, our results show an on-off threshold financial
integration process that is activated only when the stock price adjustment
exceeds some level.
