This study analyzes the relationship between oil shocks and the equity markets of a group of world major oil producers and consumers encompassing both the GCC and BRICS economies We employ a novel framework to decompose the oil shocks (demand, supply, and risk shocks) into their daily components Subsequently, we also employ a network connectedness approach to investigate the static and time-varying connectedness of these shocks with equity markets Our sample period ranges from January 6, 2005, to July 17, 2020 Empirical results show a medium connectedness between examined equity markets and oil shocks, in terms of returns and volatility, with an unpreceded level during the recent COVID-19 crisis Furthermore, the volatility of oil-exporting countries contributes more to the volatility connectedness Demand shock and risk shock are the main contributors to the connectedness © 2021 Elsevier B V
Oil shocks and equity markets: The case of GCC and BRICS economies