This study investigates the lead-lag nonlinear dependence relationship between crude oil and stock markets by employing a joint analysis of both frequency and cross-quantile perspectives. We propose a novel rolling window cross-quantile approach to capture the dynamic nonlinear dependencies across market conditions. Our empirical findings reveal that BRICS countries primarily receive net spillovers, while G7 countries, with the exception of Japan, act as net transmitters of spillovers. Additionally, with an extended time span, crude oil transitions from being a risk receiver to becoming a risk transmitter. Furthermore, the stock market returns of twelve countries are extremely vulnerable to oil price shocks under extreme market conditions, and the dependence between the crude oil and Russian stock returns is the highest. Finally, significant crisis events can briefly amplify the magnitude of risk spillovers. Overall, these discoveries furnish valuable insights for policymakers and investors seeking to refine their policies and investment strategies to reduce uncertainties in stock returns.

本研究通过频率和跨分位数的联合分析，研究了原油和股票市场之间的超前-滞后非线性依赖关系。我们提出了一种新颖的滚动窗口跨分位数方法来捕获跨市场条件的动态非线性依赖性。我们的实证研究结果表明，金砖国家主要接受净溢出效应，而除日本外的七国集团国家则充当溢出效应的净传导者。此外，随着时间跨度的延长，原油从风险接收者转变为风险传递者。此外，在极端市场条件下，12个国家的股市收益极易受到油价冲击的影响，其中原油与俄罗斯股市收益的依赖程度最高。最后，重大危机事件可能会短暂放大风险溢出的程度。总体而言，这些发现为寻求完善政策和投资策略以减少股票回报不确定性的政策制定者和投资者提供了宝贵的见解。