In this study we examine the dynamic structural relationship between oil price shocks and
stock market returns or volatility for a sample of both net oil–exporting and net oil–importing
countries between 1995: 09 and 2013: 07. We accomplish that, by extending the Diebold
and Yilmaz (2014) dynamic connectedness measure using structural forecast error variance
decomposition. The results for both stock market returns and volatility suggest that
connectedness varies across different time periods, and that this time–varying character is …