Oil price and stock returns of consumers and producers of crude oil

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COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020, methodology): “The sample period used is from January 1, 2020 to June 8, 2020. studies which show that oil prices predict stock market returns (Narayan et al., 2019; Narayan & Sharma, 2011; Phan et al., 2015a, 2015b).”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, methodology): “In these studies the most common approaches are the Capital Asset Pricing Model (CAPM) or the Fama and French (1993) 3-factor model, which are augmented to incorporate oil price changes (see, Phan et al., 2015; Mohanty et al., 2013; Narayan and Sharma, 2011, Broadstock et al., 2016, among other).”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “Phan et al. (2015b) report that oil price out-of-sample forecasts of returns of stock returns perform well and are affected by frequency of the data, the estimator employed, and the characteristics of the stock sector being considered.”