Asymmetric effects of oil price shocks and economic policies uncertainty on industry stock returns

The purpose of this research is to analyze the effects of oil shocks and economic policy uncertainty on the industry stock return in different market conditions (severe recession, recession, normal and boom). The research also seeks to answer the important question: Is the effects of oil shocks on the asymmetric effects of the industries stock returns in different market conditions (severe recession, stagnation, normalization and boom)?
For this purpose, monthly data are used from 2011 to 2017. The estimation hypothesis used Quantile panel method. The results show that the coefficient of oil shocks for a period of severe, recession and normalization has a negative and significant effect on the returns of industries, but the boom and boom conditions do not have a significant effect on oil shocks. Also, the uncertainty coefficient of economic policies for the period of severe recession does not have a significant effect on the returns of the industries, but the uncertainty of economic policies for the period of recession, normalization and prosperity has a negative and significant effect on the returns of industries. The findings indicate that oil shocks have asymmetrical effects on the stock returns of industries in various market conditions (severe recession, stagnation, normalization and boom).