Resumen:En este estudio se estiman los costos de transaccion asociados a la liquidez intradiaria de acciones que pertenecen a seis mercados accionarios latinoamericanos (Argentina, Brasil, Chile, Colombia, Mexico y Peru) durante un periodo de seis meses (Julio 2009 - Enero 2010). Se encontro que los paises con mayor capitalizacion bursatil como Brasil, Mexico y Chile poseen menores costos de transaccion asociados a la liquidez que los de Peru, Argentina y Colombia. Mas aun, mediante un modelo de datos de panel, se identifico que existe una relacion negativa entre los costos de transaccion asociados a la liquidez con la actividad bursatil y con la volatilidad de los rendimientos accionarios. Finalmente, se encontro que existen diferencias importantes entre los mercados bursatiles de Chile, Colombia y Peru que justifican su integracion en el mercado integrado latinoamericano (MILA) y que el ahorro potencial en costos de transaccion asociados con un incremento modesto del 10% en su actividad bursatil, estimado entre 10 y 36 millones de dolares.Abstract:In this study one estimates transaction costs associated with intraday liquidity of shares belonging to six Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) during a period of six months (July 2009 - January 2010). We found that countries with higher market capitalization such as Brazil, Mexico and Chile have lower transaction costs associated with liquidity than Peru, Argentina and Colombia. Moreover, using a panel data model we identified that there is a negative relationship between transaction costs and trading activity and between transaction costs and the volatility of stock returns. Finally, we found that there are important differences between the stock markets of Chile, Colombia and Peru that justify their inclusion in the Integrated Latin American Market (MILA) and that the potential savings in transaction costs associated with a modest increase of 10% in trading activity ranges between 10 and 36 million of dollars for the three countries being the Chilean and Colombian´s markets the most benefited because they have transactions with a higher average value.