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

Even efficient financial markets may break down under periods of prolonged stress, especially when the ramification an event is unclear. Political violence such event, sending immediate signals about possible impact on firm valuations but unclear information future viability existing institutions. This paper examines effect political in 19th century Russia its stock market; using a battery unit root and variance ratio tests, evidence that Russian were mostly processing short-term from violence. However, was at peak between assassination Tsar 1881 1905 revolution, large deviations efficiency can be detected, as unsure rules game.