In this paper we analyse the spread of shocks across asset markets in eight Latin American countries. First, we measure the extent of market reactions with the principal components analysis, and second, we investiga'te the volatility of asset markets based on ARCH-GARCH models as a function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but they do support interdependence in most cases along with a slight increase in the sensitivity of markets to recent shocks.