The impact of the Russian-Ukrainian crisis on African financial markets

The effects of the Russian-Ukrainian crisis on the venture capital market in the sense of Basel II/III are quantified for nearly 87% of the continent's stock market capitalization. Our methodology combines the ARMA-GJR-GARCH model, extreme value theory (EVT), copula theory and simulation, in order to capture the conditional distributions of returns. Our results reveal that the Russian-Ukrainian crisis constitutes a significant risk factor for African financial markets, in the sense that we observe an increase in risk capital in the crisis period T2 (2022-2023), of the order of 1% to 18% in reference to the normal distribution. However, the additional effect of this crisis, of the order of 0.05% to 15.07%, is evaluated compared to the results of the reference period T1 (2017-2019). To this end, this study advocates for measures aimed at mitigating market risk, in particular the diversification of financial products and hedging instruments, as well as the strengthening of the local investor base, which contributes to the stability of African financial markets.