SSL Error: unable to get local issuer certificate

I'm having trouble configuring SSL on a Debian 6.0 32bit server. I'm relatively new with SSL so please bear with me. I'm including as much information as I can.
Note: The true domain name has been changed to protect the identity and integrity of the server.

Configuration

The server is running using nginx. It is configured as follows:

ssl_certificate           /usr/local/nginx/priv/mysite.ca.chained.crt;
ssl_certificate_key       /usr/local/nginx/priv/mysite.ca.key;
ssl_protocols             SSLv3 TLSv1 TLSv1.1 TLSv1.2;
ssl_ciphers               HIGH:!aNULL:!MD5;
ssl_verify_depth          2;

I chained my certificate using the method described here

cat mysite.ca.crt bundle.crt > mysite.ca.chained.crt

where mysite.ca.crt is the certificate given to me by the signing authority, and the bundle.crt is the CA certificate also sent to me by my signing authority. The problem is that I did not purchase the SSL certificate directly from GlobalSign, but instead through my hosting provider, Singlehop.

Testing

The certificate validates properly on Safari and Chrome, but not on Firefox. Initial searching revealed that it may be a problem with the CA.

I explored the answer to a similar question, but was unable to find a solution, as I don't really understand what purpose each certificate serves.

I used openssl's s_client to test the connection, and received output which seems to indicate the same problem as the similar question. The error is as follows:

depth=0 /OU=Domain Control Validated/CN=*.mysite.ca
verify error:num=20:unable to get local issuer certificate
verify return:1
depth=0 /OU=Domain Control Validated/CN=*.mysite.ca
verify error:num=27:certificate not trusted
verify return:1

A full detail of openssl's response (with certificates and unnecessary information truncated) can be found here.

I also see the warning:

No client certificate CA names sent

Is it possible that this is the problem? How can I ensure that nginx sends these CA names?

Attempts to Solve the Problem

I attempted to solve the problem by downloading the root CA directly from GlobalSign, but received the same error. I updated the root CA's on my Debian server using the update-ca-certificates command, but nothing changed. This is likely because the CA sent from my provider was correct, so it led to the certificate being chained twice, which doesn't help.

0 s:/OU=Domain Control Validated/CN=*.mysite.ca
   i:/C=BE/O=GlobalSign nv-sa/CN=AlphaSSL CA - SHA256 - G2
1 s:/O=AlphaSSL/CN=AlphaSSL CA - G2
   i:/C=BE/O=GlobalSign nv-sa/OU=Root CA/CN=GlobalSign Root CA
2 s:/C=BE/O=GlobalSign nv-sa/OU=Root CA/CN=GlobalSign Root CA
   i:/C=BE/O=GlobalSign nv-sa/OU=Root CA/CN=GlobalSign Root CA

Next Steps

Please let me know if there is anything I can try, or if I just have the whole thing configured incorrectly.

jww is right — you're referencing the wrong intermediate certificate.

As you have been issued with a SHA256 certificate, you will need the SHA256 intermediate. You can grab it from here: http://secure2.alphassl.com/cacert/gsalphasha2g2r1.crt