The main purpose of this article is to identify and assess the impact of some macroeconomic variables and some international stock indexes, in one of the country's stock index, the IGBC, while recognizing the feedback that IGBC can generate in some variables determinates of the colombian economy. To this end, we propose a model that takes into account the different relationships of association and of causation, model VEC, supported in the previous validation of cointegration relationships. This proposal allows to stablish that the IGBC, if it affects the fundamental variables but not significantly. However, it is important to consider the fact that the IGBC, given the results of the estimated model, is more affected for the impact of international stock indices than by macroeconomic variables.