This paper aims to analyse the dynamic relationship between the stock market returns and exchange rates movements for the mila (Mercado Integrado Latinoamericano) countries: Colombia, Chile, México and Peru, over the period 01:2003 to 09:2016. Univariate (Markov Switching-Autoregressive) and multivariate (Markov Switching-Vector Autoregressive) regime-switching models approach are used. The univariate analysis offers evidence indicating that stock returns of the mila countries evolve according to two different regimes: a low volatility regime and a high volatility regime. The Markov Switching Vector Autoregressive models point out that stock markets have more influence on exchange rate than exchange rate has on stock markets. Results for the Peruvian and Chilean markets contribute evidence about contagion between the stock and the exchange rate markets.