The Impact of Oil Price Uncertainty on Stock Returns of Energy Sectors Under Different Market Conditions: Evidence From Asia Pacific Economic Co-Operation Countries

Abstract

This study aims to reveal the impact of oil price uncertainty on stock returns of energy sectors of selected APEC countries under various economic conditions for the period 04.01.2012-19.09.2024. As a result of the simultaneous quantile regression analysis, according to the models developed for all energy sectors, we observed that the increase in oil price uncertainty decreases the stock returns of energy sectors during periods of economic expansion, while it increases during periods of economic contraction. Moreover, we determined that an increase in oil price uncertainty decreases the stock returns of energy sectors under normal market conditions according to all models except those developed for the Canadian and South Korean energy sectors. Lastly, according to the models developed for Canada, there is a U-shaped relationship between the variables under normal market conditions, while according to the models developed for South Korea, we concluded that an increase in oil price uncertainty increases the stock returns of the energy sector. Overall, the results emphasise that policymakers and risk managers should consider the impact of oil price uncertainty on APEC member countries' energy sector investment decisions and sector rotation strategies.