How Do Asymmetric Oil Prices and Economic Policy Uncertainty Shapes Stock Returns Across Oil Importing and Exporting Countries? Evidence from Instrumental Variable Quantile Regression Approach

Aman Bilal, Shakeel Ahmed (), Hassan Zada, Eleftherios Thalassinos and Muhammad Hassaan Nawaz
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Aman Bilal: Department of Management Sciences, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST University), Islamabad 44000, Pakistan
Shakeel Ahmed: Department of Management Sciences, Hitec University, Taxila 47080, Pakistan
Hassan Zada: Department of Management Sciences, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST University), Islamabad 44000, Pakistan
Eleftherios Thalassinos: Department of Maritime Studies, Faculty of Maritime and Industrial Studies, University of Piraeus, 185-33 Piraeus, Greece
Muhammad Hassaan Nawaz: Department of Management Sciences, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST University), Islamabad 44000, Pakistan

Risks, 2025, vol. 13, issue 5, 1-25

Abstract: This study employs asymmetric quantile regression to investigate the asymmetric impact of WTI crude oil prices and economic policy uncertainty (EPU) on stock market returns from May 2014 to December 2024 in oil-importing (China, India, Germany, Italy, Japan, USA, and South Korea) and oil-exporting (Saudi Arabia, Russia, Iraq, Canada, and the United Arab Emirates) countries. The findings reveal that an increase in oil prices significantly impacts the returns of all countries. For oil-importing countries, an increase in oil prices consistently exhibits a positive impact, with insignificant effects in lower and medium quantiles and significant effects in higher quantiles. Conversely, a decrease in oil prices generally decreases stock market returns across all quantiles. This study offers valuable insights for investors to manage risks and improve the predictability of oil price fluctuations. It also provides strategies and policy implications for capitalists and decision-makers. By addressing contemporary issues and using up-to-date data, the study supports financial institutions and portfolio managers in formulating effective strategies.

Keywords: WTI crude oil prices; economic policy uncertainty (EPU); stock market returns (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2025
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