The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.

本文旨在探讨石油价格变化与油气行业股票回报之间是否存在关联。采用 的连通性方法和 开发的频率连通性进行的分析表明了高水平的连通性，尤其是在极端的经济崩溃期间。短期（1-5天）的总体连通性水平远高于中期（5-30天）和长期（30-262天）水平。此外，在考察行业财务特征对关联程度的影响时，我们发现偿付能力状况较好（资产负债率较低、利息覆盖率较高）的行业与油价变化的相关性较小。对于金融上更加开放的市场，行业偿付​​能力状况对关联性（股票回报与油价之间）的影响更为明显。此外，油价变化对盈利率较高行业的回报影响较小。因此，这篇论文给政策制定者和投资者带来了一些影响。