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Market Behavior in the Face of Political Violence: Evidence from Tsarist Russia

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  • Christopher A. Hartwell

    (International Management Institute, Department of International Business, ZHAW School of Management and Law, 8400 Winterthur, Switzerland
    Department of International Management, Kozminski University, 03-301 Warsaw, Poland)

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.

Suggested Citation

  • Christopher A. Hartwell, 2021. "Market Behavior in the Face of Political Violence: Evidence from Tsarist Russia," JRFM, MDPI, vol. 14(9), pages 1-13, September.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:445-:d:635810
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    References listed on IDEAS

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    Cited by:

    1. Christopher A. Hartwell & Paul M. Vaaler, 2023. "The Price of Empire: Unrest Location and Sovereign Risk in Tsarist Russia," Papers 2309.06885, arXiv.org, revised Nov 2023.

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