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The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ Rev 99(3):1053–1069, 2009) and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources. Based on the decomposed oil price shocks, we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns. There is no general correlation between the decomposed oil prices and stock returns in these countries. The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.

This paper investigates how geopolitical risk (GPR) and economic policy uncertainty (EPU) impact the Chinese tourism stock return using the quantileon-quantile method and causality-in-quantiles approach. Compared to the conventional linear regression model and the quantile regression, the quantileon-quantile method can capture more factors of uncertainty and provide more accurate and detailed empirical results. Besides, we consider the upper quantile and lower quantile of stock return as the tourism peak season and offseason respectively. Overall, the empirical results indicate GPR exerts a lasting negative effect on tourism stock return and that the negative effect of GPR at low quantile is more significant than that at high quantile. Besides, the Chinese categorical EPU influences both negatively and positively the stock returns at different distribution levels. And during tourist off-season, the asymmetric phenomena between GPR, EPU and stock return are more obvious at lower quantiles and upper quantiles.

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