IDEAS home Printed from https://ideas.repec.org/p/col/000091/004360.html
   My bibliography  Save this paper

En busca de algunos hechos estilizados del mercado financiero colombiano

Author

Listed:
  • Juan Camilo Rojas

    ()

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.

Suggested Citation

  • Juan Camilo Rojas, 2007. "En busca de algunos hechos estilizados del mercado financiero colombiano," BORRADORES DE INVESTIGACIÓN 004360, UNIVERSIDAD DEL ROSARIO.
  • Handle: RePEc:col:000091:004360
    as

    Download full text from publisher

    File URL: http://repository.urosario.edu.co/bitstream/handle/10336/3843/Fasc%C3%ADculo92.pdf
    Download Restriction: no

    More about this item

    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;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000091:004360. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Facultad de Economía). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.