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Abstract
This paper studies the relationships of dependence between financial markets, particularly the investigation of the effect of financial contagion between two sets of returns of stock indices: Dow Jones (DJ) and the General Index of the Stock Exchange of Colombia (IGBC), being the United States, the leading country with which Colombia has a strong business relationship and economic. It will make use of historical information of a public nature, between January 1, 2007 and December 31, 2010, from objective sources and recognized in the market. They develop an econometric exercise type, which sets the level of relationship between the two indices mentioned The main contribution of this work is the implementation of econometrics as a technique for the analysis of contagion, which, we infer relations causality between markets and identify robust predictive models that generate a larger pool and interpretive information about the underlying dynamics in the returns of different financial assets.
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