Oil shock spillovers in emerging markets: Sectoral dynamics of demand, supply, and risk channels

s: This study investigates how disaggregated oil price shocks (demand, supply, and risk) propagate across emerging market equity sectors. Using quantile granger causality and time-varying parameter vector autoregression extended-joint connectedness frameworks, the analysis captures both dynamic interactions and responses during major turmoil including US-China trade tensions, COVID-19 pandemic, and Russia-Ukraine conflict. Results reveal strong nonlinear and quantile-dependent effects: demand shocks peak under moderate market conditions, supply shocks affect defensive sectors via inflationary channels, and risk shocks exert pervasive systemic influence across all sectors. Connectedness analysis shows high spillovers, with sectors such as financials, industrials, materials acting as major transmitters, while healthcare, utilities, and information technology largely absorb shocks. Network analysis further shows risk shocks as the dominant transmitter during crises, temporarily reversing to a net receiver during COVID-19. These findings highlight crisis-sensitive sectoral vulnerabilities, offering actionable insights for investors and policymakers in oil-sensitive emerging markets.