Do Asymmetry in Oil Prices and Economic Policy Uncertainty Impact Stock Returns? Insights from Oil Importing and Exporting Countries

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 in oil-importing and oil-exporting 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.