Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258549 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 9 [Article No.:] 445 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
Even efficient financial markets may break down under periods of prolonged stress, especially when the ramification of an event is unclear. Political violence is such an event, sending immediate signals about possible impact on firm valuations but unclear information about the future viability of existing institutions. This paper examines the effect of political violence in 19th century Russia on its stock market; using a battery of unit root and variance ratio tests, the evidence is that Russian financial markets were mostly efficient in processing short-term information from political violence. However, when violence was at its peak between the assassination of the Tsar in 1881 and the 1905 revolution, large deviations from efficiency can be detected, as markets were unsure about the viability of the existing rules of the game.
Subjects: 
efficient markets
institutions
political violence
JEL: 
G14
N23
D74
P48
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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