The impact of oil price shocks on stock market returns : comparing GCC countries with the UK and USA

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The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, methodology): “A large body of subsequent literature confirm significant responses of stock returns to oil shocks using a wide range of different econometric techniques including vector autoregressive (VAR) models (Huang et al., 1996; Sadorsky, 1999; Apergis and Miller, 2009; Fayyad and Daly, 2011; Park and Ratti,”
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, background): “Subsequently, Apergis and Miller (2009), Fayyad and Daly (2011), Huang et al. (1996), Park and Ratti (2008), and Sadorsky (1999), among others, also provide evidence of significant responses of stock returns to oil shocks from making use of various approaches such as vector autoregressive (VAR)…”
Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2013, background): “On the other hand, several studies have found that stock market activities are significantly affected by oil price movements (Sadorsky, 2001; Park and Ratti, 2008; Arouri and Nguyen, 2010; Fayyad and Daly, 2011).”