workingPaper
En busca de algunos hechos estilizados del mercado financiero colombiano
Fecha
2007Autor
Rojas Rodríguez, Juan Camilo
Institución
Resumen
Recent development of the financial markets in Colombia, emphasizes the importance of relation between
local markets and the world economy. The portafolio theory says that the conformation of efficient
portafolio has to combine assets of different risk to get the maximun expect profit, taking on account that
it can exist correlation between the returns of the assets. This paper seeks evidence about the correlation
between the main group of the assets on the local market and assets on the internacional markets. The
assets on the local market (stocks, currencies, treasury bonds) and the internacional markets (particularly treasuries) has to show hight correlations to be consider substitute in the construction of efficient
portafolio. To prove this evidence, it is used two metodologies (Hodrick and Prescott filter, 1997 and the
first difference of the variables) to check the contemporary and no contemporary correlations between
the returns of local and international assets. The evidence shows that the correlation between these two
types of assets is low, and is not allow take a conclusion about this matter.