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En busca de algunos hechos estilizados del mercado financiero colombiano

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  • Juan Camilo Rojas

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    Abstract

    El reciente desarrollo de los mercados financieros en Colombia pone de manifiesto laimportancia de ver el grado de integración de este con el entorno internacional. Deacuerdo con la teoría de portafolio, para la conformación de un portafolio eficiente, sedebe combinar activos de diferente riesgo para obtener el mayor retorno esperadoposible, teniendo en cuenta que puede existir correlación entre los activos. En esesentido, se busca evidencia del grado de correlación que existe entre los principalesactivos del mercado local y activos del mercado internacional. En particular, los activosdel mercado local (dólar, bonos de la Tesorería y acciones) y el mercado extranjero (enparticular bonos del Tesoro de Estados Unidos) deberían presentar una correlación altapara considerarse sustitutos en una eventual construcción de un portafolio eficiente. Enbusca de éstos hechos estilizados, se utilizan dos metodologías (Filtro de Hodrick yPrescott (1997) y primeras diferencias de las variables) para la estimación decorrelaciones contemporáneas y no contemporáneas entre los diferentes activos. Sinembargo, la evidencia muestra que la relación que existe entre los activos locales y losextranjeros no permite ser concluyente sobre el tema.************************************************************************************************************Recent development of the financial markets in Colombia, emphasizes the importanceof relation between local markets and the world economy. The portafolio theory saysthat the conformation of efficient portafolio has to combine assets of different risk to getthe maximun expect profit, taking on account that it can exist correlation between thereturns of the assets. This paper seeks evidence about the correlation between the maingroup of the assets on the local market and assets on the internacional markets. Theassets on the local market (stocks, currencies, treasury bonds) and the internacionalmarkets (partucularly treasuries) has to show hight correlations to be consider substitutein the construction of efficient portafolio. To prove this evidence, it is used twometodologies (Hodrick and Prescott filter (1997) and the first difference of thevariables) to check the contemporary and no contemporary correlations between thereturns of local and international assets. The evidence shows that the correlationbetween these two types of assets is low, and is not allow take a conclusion about thismatter.

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    Bibliographic Info

    Paper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 004360.

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    Length: 25
    Date of creation: 31 Aug 2007
    Date of revision:
    Handle: RePEc:col:000091:004360

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    Keywords: Correlación; retorno esperado; varianza; persistencia; teoría deportafolio; Índice General de la Bolsa de Valores (IGBC); Tasa Representativa delMercado (TRM); Bonos de la Tesorería (TES); Bonos de la Reserva Federal(Treasuries); filtro de Hodrick y Prescott; Primera diferencia;

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