caa a22 4500 467896437 CHVBK 20180406152805.0 cr unu---uuuuu 170328e20060601xx s 000 0 eng 10.1007/s00181-005-0025-6 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0025-6 Goldman Elena Department of Finance and Economics, Lubin School of Business, Pace University, One Pace Plaza, 10038, New York, NY, USA aut Testing efficiency of the ruble-sterling foreign-exchange market under the gold standard [Elektronische Daten] [Elena Goldman] This paper tests an efficient market hypothesis for the Russian ruble-UK sterling exchange rates in the gold standard period 1897-1913. Using Bayesian Markov Chain Monte Carlo methods it is shown how to test a weak-form market efficiency in a doubly truncated regression model with ARMA-GARCH error. The suggested model accounts for time series characteristics of the data and bounds of exchange rates caused by the gold points and government intervention. We find that the weak-form efficiency hypothesis can not be rejected for the gold standard ruble exchange rates in both St.Petersburg and London markets. Springer-Verlag, 2006 Russian gold standard exchange rates nationallicence Efficient market hypothesis nationallicence Double-truncation nationallicence Markov chain sampling nationallicence Empirical Economics Physica-Verlag 31/2(2006-06-01), 449-477 0377-7332 31:2<449 2006 31 181 https://doi.org/10.1007/s00181-005-0025-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0025-6 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Goldman Elena Department of Finance and Economics, Lubin School of Business, Pace University, One Pace Plaza, 10038, New York, NY, USA aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 31/2(2006-06-01), 449-477 0377-7332 31:2<449 2006 31 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer