G10 - General Financial Markets: General (includes Measurement and Data)Return

In this paper, we deal with the derivation of the mathematical equation for the Macaulay duration of a perpetuity (hereinafter referred to as "Mac. duration") bond in the period between coupon payments. According to our findings, this equation is not included in the commonly available literature and is limited only to the equation for calculating Mac. duration at the moment when exactly one full coupon period remains before the payment of the nearest coupon. In a mathematical derivation, we come to a conclusion, which is consistent with financial intuition, that the Mac. duration of the perpetuity does not depend on the size of the coupon, but is dependent on the internal rate of return of the perpetuity and decreases as the moment of payment of the nearest coupon approaches.

The expectations hypothesis is one of the most natural theories that attempt to explain the relationship between short and long-term interest rates. This paper summarizes the preconditions necessary for a meaningful analysis of the expectations contained in interest rates. These preconditions are further tested on five selected interest rate products. The most appropriate candidates for both the term structure analysis and the testing of the expectations hypothesis are the quotations of interest rate swaps OIS. With certain limitations, the IRS rates and the yields of highest-rated government bonds are also applicable.

This article focuses on the hedge fund industry, its specifics and impact on the financial system and, in particular on the rate of return, risk and performance produced by the sector. The rate of return, risk and performance of the hedge funds and other asset classes were derived from monthly returns, standard deviation and Sharpe ratios. The time periods 1997-2016 and 2000-2016 were considered. The hedge fund industry, compared to the stock market, the gold market, and the overall commodity market, brought a significantly higher return at a lower risk in the considered period. In the past years, as the two-dimensionally most powerful hedge funds in the short and long term appeared to be smaller funds managing assets up to 100 million USD, and in the medium term the largest funds managing assets over 1 billion USD. From the point of view of geographic asset allocation, the highest twodimensional performance was shown by funds allocating their assets to North American markets.

The analysis demonstrates parameters of ten portfolios formed by ranking historical risk in the period 1999-2000 on the German stock market. Low volatility portfolios (or low beta portfolios) are able to have similar returns/outperform the market with lower risk. The performances of high volatility portfolios are poor relative to the market. Similar results are present on risk-adjusted basis.

R is open source software environment (and language) for statistical computing and graphics. Different surveys are showing R's popularity has increased substantially in recent years, especially in academic environment. Therefore, at the beginning main advantages and comparison to commercial statistical software are presented. Second, selection of the best interface for given tasks is important. In each category (GUI or editors/IDEs) several product are compared. Data structure for time series in base installation is suitable for regular time series only. Therefore, several other data structures in different packages are compared: almost all support irregular time series, but differ in other attributes (often important for financial data). In following section, analysis of some well-known packages for financial data (quantmod, RQuantLib, Rmetrics collection and others) are performed. At the beginning of the last section, different ways of downloading data from Internet are shortly presented. Then the relevant sources of financial data are more deeply investigated (in particular web Quandl and corresponding Quandl package for R). Czech projects for open data (still in initial phase) are also shortly described.

Churning is one of the unethical practices used by brokers while trading in a customer's account. It consists in an excessive trading in a customer's account that is disadvantageous for the client. This technique is described in more details in the field of non-leverage financial instruments, including quantitative indicators. The aim of this paper is to clarify the differences between the leverage and non-leverage financial instruments in terms of trading volume measurement methods for churning's assessing. The author concludes that the churning assessment has to be based on consistency of number and characteristics of the trades with the investor's strategy. Difference among derivative contracts does not provide single quantitative indicators that could indicate churning by trading of the derivative. It would be possible to use quantitative indicators only for comparing the same type of investment instrument, investment strategy and especially of the same leverage.

The aim of this paper is not only to explain the institutional response to the Global financial crisis, but also to evaluate how effectively the national and supra-national supervisors use entrusted powers. With the emergence of cross-border financial groups, call for supra-national supervisory authorities has strengthened. There are many variants of the institutional responses to the development in economical and financial environment. Particular attention will be paid to the harmonization of regulatory and supervisory policy in the EU, which is characterized by the creation of European system of financial supervision. However, pressure on creation supra-national supervisory authority does not guarantee effective regulation and supervision of cross-border financial groups. More rational structures may support the development of the European financial market, but, fundamentally, more efficient supervision comes from independent and transparent supra-national supervisory body with better-trained staff and more enforcement powers.

Financial crisis is a sharp, brief, ultracyclical deterioration of all or most of a group of financial indicators - illiquidity, financial insolvencies, rate of returns, asset prices, financial institutions failures, and rush out of the real or long-term financial asset into money. Financial crisis solution has two dimensions. The crisis is connected with goverment interventions to stop systematic collapse of the whole financial system. After realization of the bail-out phase, instantly starts second phase, focuses on restoring the public confidence in the financial system includes discussion and practical implementation the institutional response to the financial crisis. This paper surveys the institutional response to the Great Depression, the Great Moderation and the Global Financial Crisis. We can identify these as follows: Glass- Steagall Act, Gramm-Leach-Bliley Act and Dodd-Frank Act. There are many variants of the institutional responses to the development in economical and financial environment. Financial and Law theory indicates a wide variety of institutional responses, suggesting that is no universal ideal approach. But one aspect is clear, that Dodd-Frank Act is noGlass-Steagall Act.

Global financial crisis is a sharp, brief, ultracyclical deterioration of all or most of a group of financial indicators - illiquidity, financial insolvencies, rate of returns, asset prices, financial institutions failures, and rush out of the real or long-term financial asset into money. Current global financial crisis includes credit crisis, liquidity crisis and investment crisis. We can identify these causes as follows: real estate bubble, credit overexpansion, overspeculation, financial panic, regulation-failure, and imperfect institutional arrangement of global financial market.

Exchanges, as a specific type of market appeared in Italian towns Luca, Genoa, Florence, Venice and Milan in the 12th and 13th centuries. Importance of the first Exchange was only local and they were mostly based on bill, debenture and coins trades. The first important Exchange building was built in Antwerp in 1531. The beginning of the period, in which modern Exchange emerged, goes back to the Amsterdam Exchange, which from 17th century started to apply modern speculative trades with bonds and especially with stocks. The importance of the local Exchange was declining in the 20th century and the importance of large, international Exchange in the same time was growing. The new common trading systems, Exchange alliances and groups were created. The new financial instruments, as for example derivatives, DR, ETF´s and others, were emerged. The turn of 20th and 21st century is directly linked to the capital market globalisation process. The history of Czech Exchange business is very short, but rich. The Prague Commodity and Securities Exchange worked from 1871 to 1938. The tradition of the Czech Exchange business found its continuation in the 1990s. Trading on the Prague Stock Exchange was started 6th April 1993.