Dynamic connectedness analysis between crude oil price changes and Polish stock market sectors

The price of oil has registered important fluctuations over time. The crisis caused by the emergence of the COVID-19 virus caused a significant drop in the price of oil. Therefore, this article presents the research results of the spillovers of oil price changes in the sectors of stocks traded on the Polish stock market. Rolling window-based Quantile VAR (QVAR) is used, based on which the spillover indices proposed by Diebold and Yilmaz are calculated. The reference period for the daily oil prices and sector indices used is March 10 , 2011 - September 9, 2022. The sectors considered are energy, oil and gas, banks, developers, chemicals, construction, basic materials, IT, media, and food. The methodology allowed obtaining results confirming a more important spillover in the right and left quantiles of the conditional distributions than in the mean and median. This situation confirms a significant spillover from oil price changes to the equity sectors traded in extreme market conditions. It was also identified that connectedness in the right tail is higher than in the left, though only for the stock market's energy and oil and gas sectors. The results highlight the importance of diversified portfolios based on sector- specific responses to oil price fluctuations and different market conditions.