Market linkages are investigated by exploring the possibility of financial contagion from Brazil to five Latin American countries following the presidential election of Dilma Rousseff in 2014. A GARCH-DCC framework is employed to estimate the variance-covariance transmission mechanism. By means of both the Kolmogorov-Smirnov test and a Markov Switching Dynamic Regression (MSDR), an increase in conditional correlations between Brazil and five Latin American countries is found, suggesting a shift in the long run relationship and evidence of financial contagion.