This study identified the dynamics of return spillover between crude oil return and stock markets’ return of crude oil exporting and importing economies. For this objective, the study employs an extensive sample of major oil-exporting countries (United Arab Emirates, Saudi Arabia, Iraq, Canada, and Russia) and oil-importing countries (United States, China, India, South Korea, and Japan). The analysis covered a dataset of 1035 observations from 2019 to 2022 by using the spillover index methodologies of Diebold & Yilmaz (2012) and the Spillover Asymmetric Measures (SAM) model of Barunik et al. (2016). The key findings revealed notable spillover effects of stock returns between the stock return and the change in the price of crude oil. An increase in return spillover was noted among the exporting and importing countries at the time of increasing crude oil prices compared to aggregated spillover and periods of decreasing oil pricing. The magnitude of return spillover was high in oil-importing economies as compared to oil-exporting economies. During periods of price decline and price increase for crude oil. Overall, the study's findings posit valuable insights into the complex dynamics of spillover effects between crude oil prices and stock markets in exporting and importing countries.

Keywords: Crude oil pricing; COVID-19; Stock market; Contagion; Spillover index; Importing and exporting Countries of crude oil