This article presents some evidence of the non-linear and inverse relationship between the share prices on the Bogota stock market and the interest rate as measured by the interbank loan interest rate, which is to some extent affected by monetary policy. The model captures the stylized fact on this market of high dependence of returns in short periods of time. These findings do not support any efficiency on the main stock market in Colombia. Evidence of a non-constant equity premium is also found. The article uses daily data from January 1994 up to February 2000.