Quantile Connectedness Between Stock Markets and Oil Price Shocks: A Cross-Country Analysis

This paper examines the quantile-dependent and time-varying connectedness between Brent crude oil and 12 developed and emerging equity markets from January 2008 to January 2024. Using a quantile vector autoregression–generalised forecast error variance decomposition (QVAR-GFEVD) framework, this study combines rolling connectedness, network analysis, crisis and producer/consumer comparisons, and out-of-sample portfolio evaluation. The results show strong state dependence, with the Total Connectedness Index reaching 85.89% at Q = 0.10 and 85.18% at Q = 0.90, compared with 68.38% at Q = 0.50. The United States, Canada, the United Kingdom, and Germany emerge as recurrent net transmitters, while Brent remains a net receiver across all quantiles. Crisis effects vary across episodes, and producer markets record significantly higher mean NET connectedness than consumer markets. Network analysis identifies a developed-market transmission core, with Brent occupying a comparatively peripheral position, particularly at the conditional median. Out-of-sample results show that the mean variance benchmark achieves a Sharpe ratio of 0.412 and exceeds the centrality-based portfolios; the differences are statistically significant at Q = 0.50 but not at the 5% level in the lower and upper tails. Overall, the findings show that oil–equity connectedness varies substantially across market states and that network measures provide useful additional information on systemic structure and portfolio allocation.