Political crises and stock market volatility in the WAEMU: evidence from an event study

Purpose This study examines the impact of political crises—military coups in Mali, Burkina Faso and Niger—and the formation of the Confederation of Sahel States (CSS) on cumulative abnormal returns (CARs) and volatility in the West African Economic and Monetary Union (WAEMU) integrated stock exchange, Bourse Régionale des Valeurs Mobilières (BRVM). Design/methodology/approach Using an event-study approach combined with EGARCH(1,1) volatility modeling, we analyzed BRVM responses to these events using daily data from January 2021 to August 2024. Findings The Mali and Burkina Faso coups trigger sharp negative CARs and prolonged volatility mainly because of exchange rate shocks and rising global risk aversion. The Niger coup yields muted effects consistent with investor expectations. The CSS launch caused a moderate initial drop and sustained volatility, with partial recovery led by the blue chips. These results underscore WAEMU’s heightened sensitivity to political risk and contagion. Originality/value This is the first union-wide empirical study of political risk transmission in a monetary union using a dual-index return-volatility approach. The findings provide actionable insights for investors (hedging, liquidity buffers), regulators (circuit breakers, margin rules) and regional bodies (coordination protocols) and lay the groundwork for future firm-level and contagion-focused research.