This article analyzes the existence of cointegration in the Latin American Integrated Market (MILA), after the entry of Mexico. Methodological tests do not detect a long-term stationary relationship between its four members. However, this relationship is detected for Chile-Colombia-Mexico; for Chile-Colombia and Colombia-Mexico, respectively.
Based on the number of cointegration relations and net financial position of each market, it is concluded that Colombia and Chile have benefited through their issuing companies. On the side of local investors, who diversify their resources in the remaining markets, are followed by Mexico. The least benefited has been Peru for not presenting cointegration.