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|Publication type:||Article in scientific journal|
|Type of review:||Peer review (publication)|
|Title:||Market behavior in the face of political violence : evidence from Tsarist Russia|
|Authors:||Hartwell, Christopher A.|
|Published in:||Journal of Risk and Financial Management|
|Publisher / Ed. Institution:||MDPI|
|Subjects:||Efficient market; Institution; Political violence|
|Subject (DDC):||320: Politics |
332: Financial economics
|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.|
|Fulltext version:||Published version|
|License (according to publishing contract):||CC BY 4.0: Attribution 4.0 International|
|Departement:||School of Management and Law|
|Organisational Unit:||International Management Institute (IMI)|
|Appears in collections:||Publikationen School of Management and Law|
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Hartwell, C. A. (2021). Market behavior in the face of political violence : evidence from Tsarist Russia. Journal of Risk and Financial Management, 14(9), 1–12. https://doi.org/10.3390/jrfm14090445
Hartwell, C.A. (2021) ‘Market behavior in the face of political violence : evidence from Tsarist Russia’, Journal of Risk and Financial Management, 14(9), pp. 1–12. Available at: https://doi.org/10.3390/jrfm14090445.
C. A. Hartwell, “Market behavior in the face of political violence : evidence from Tsarist Russia,” Journal of Risk and Financial Management, vol. 14, no. 9, pp. 1–12, 2021, doi: 10.3390/jrfm14090445.
Hartwell, Christopher A. “Market Behavior in the Face of Political Violence : Evidence from Tsarist Russia.” Journal of Risk and Financial Management, vol. 14, no. 9, 2021, pp. 1–12, https://doi.org/10.3390/jrfm14090445.
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