How did African stock markets react to the Russia-Ukraine crisis “black-swan” event? Empirical insights from event study

Abstract

This study builds on the recent literature by investigating how various types of African stock markets responded to the Russia-Ukraine crisis (commonly referred to as the black-swan event). The empirical analysis used in this paper centred on event study analysis, a statistical technique used to measure the impact of a specific event. The findings show that the black-swan event had a significant negative impact on African stock markets (14/20), with stocks having a negative abnormal return on the event day, and out of this, nine stocks’ abnormal returns are statistically significant. These include Safaricom Kenya, Commercial International Bank, Attijariwafa Bank, Morocco Casablanca Index, Egyptian Exchange 30, Nairobi All Share Index, AVI Equity, MCB Group Ltd, FTSE/JSE All Share, Delta Corp. Ltd, Stock Exchange of Mauritius, Tunisia Stock Exchange, Tanzania All Share Index, and Banque de Tunisie. Furthermore, the study discovers that African stock markets reacted heterogeneously to the impact of the crises, while some stocks were severely affected, some were minimally affected. The study concludes that African stock markets should build a resilient market capable of withstanding external shock and reducing the risk of contagion.