Asymmetric shocks and sectoral resilience: Analysing JSE performance under oil price volatility during dual crises

• Oil–JSE link weak but spikes in crises; negative shocks hit key sectors most. • Oil offers hedging and diversification benefits for JSE sectors in turmoil. • Fat tails confirm extreme risks; nonlinear models best capture volatility. • Short-term oil–JSE ties aid hedging; long-term links show market convergence. This study examines the asymmetric and sectoral resilience to oil price shocks across different time horizons, spanning from 2014 to 2025 and using the MODWT 1 1 Maximal Overlap Discrete Wavelet Transform –GJR 2 2 Glosten-Jagannathan-Runkle -GARCH 3 3 Generalised Autoregressive Conditional Heteroskedasticity and MODWT–DCC 4 4 Dynamic Conditional Correlation models. The results reveal a weak time-varying correlation between oil and the Johannesburg Stock Exchange (JSE) sectors, which changes depending on the type of shock, particularly during the COVID-19 pandemic and the Russian-Ukrainian war. Asymmetric volatility dynamics are in line with traditional inverse leverage effects. The MODWT-DCC results indicate sticky sectoral responses with limited short-term co-movement and considerable long-term trend persistence. Crude oil offers substantial diversification and strategic hedging. At high frequencies, investors actively rebalance to capitalise on short-term profits, while at lower frequencies, oil serves as a strategic hedge, particularly during times of crisis. The JSE sectors showed performance and resilience in crisis periods. Reducing reliance on oil-sensitive exports and promoting the growth of sophisticated risk management tools and derivatives markets are two ways to improve South Africa's economic resilience. The results emphasise the value of multi-scale methods for modeling volatility and correlation, providing insightful information for emerging market investors and regulators.