En busca de algunos hechos estilizados del mercado financiero colombiano

Abstract

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.