Vector Auto Regression (VAR) models are used to trace the dynamic linkages across daily returns of national stock market indices of Latin America, and among the Latin American and major world stock market indicies. The Latin American indices include: Argentina, Brazil, Chile, and Mexico. The majorworld stock market indices include: the US; the world excluding the US; United Kingdom; Japan; Germany; France; and Canada. Although most of the impulse responses die out very quickly, it is still possible to trace the dynamic linkages among markets. The dynamic linkages among the Latin American markets and among the Latin American and major world stock markets are found to be relatively small. The conclusion is that although markets are efficient and cleared out in a few trading days, there are dynamic linkages that can be explored and exploited to the benefit of the diversified international investor.