  In this paper we use the Brooks and Hinich cross-bicorrelation test in order
to uncover nonlinear dependence periods between USA Standard and Poor 500
(SP500), used as benchmark, and six Latin American stock markets indexes:
Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL)
and Argentina (MERVAL). We have found windows of nonlinear dependence and
co-movement between the SP500 and the Latin American stock markets, some of
which coincide with periods of crisis, giving way to a possible contagion or
interdependence interpretation.
