The resilience and vulnerability of WAEMU stock market amid COVID-19

This study examines the impact of the COVID-19 pandemic on stock market returns at Bourse Régionale des Valeurs Mobilières (BRVM) in the West African Economic and Monetary Union (WAEMU). Using an event study and Markov regime-switching dynamic regression methodologies, including a robustness check via threshold regression, we analyze how pandemic-related variables and government stringency measures affect the market performance under different volatility regimes. Our findings reveal that, during low-volatility periods, confirmed COVID-19 cases and strict public health interventions significantly depressed returns, whereas fatalities exhibited no significant effect. By contrast, under high volatility, these adverse impacts are partially offset, suggesting that stringent policy measures can stabilize investor sentiment. A detailed sectoral analysis indicates heterogeneous responses: the industrial sector experienced prolonged high volatility, whereas the agricultural sector demonstrated resilience to fatalities, despite its sensitivity to confirmed cases. These insights highlight the critical role of targeted sector-specific policy interventions in regions characterized by high inflation, commodity price volatility, and structural fiscal challenges. This study contributes to the literature on crisis impacts on frontier markets and outlines clear directions for future research on post-pandemic recovery dynamics, policy effectiveness, and firm-level heterogeneity.This study shows how COVID-19 and government responses shaped stock returns in WAEMU’s BRVM market. Using event study and regime-switching methods, it reveals regime-dependent and sector-specific effects, highlighting the fragility of industry and transport versus the resilience of agriculture. The findings offer actionable insights for designing targeted policies to stabilize frontier markets during crises.