This study explores the dependence between changes in world crude oil prices and the performance of the Pakistan Stock Exchange, at the aggregate as well as sectoral levels for the period from July 1997 to December 2016. Quantile regression approach is employed for a detailed examination of the structure and degree of dependence for three sub-periods corresponding to normal, rising, and falling oil price periods. We found that the dependence between changes in crude oil price and the sectoral stock returns is heterogeneous across industries and it exists in both bullish and bearish market trends. The dependence at the upper and lower quantiles is found to be a common feature across industries. Moreover, the dependence and direction of the relationship change at times of structural breaks. The findings highlight an external channel through which fluctuations in stock returns may impede the liquidity of the stock market of an oil-importing country such as Pakistan, thereby affecting the domestic economy.

本研究探讨了1997年7月至2016年12月期间的全球原油价格变化与巴基斯坦证券交易所的表现以及总量和行业水平之间的相关性。采用分位数回归方法对原油价格进行了详细研究。三个子时期的结构和依赖程度，分别对应于正常，上升和下降的石油价格时期。我们发现，原油价格变化与部门股票收益之间的依赖关系在各个行业之间是异质的，并且在看涨和看跌的市场趋势中均存在。发现上下分位数的依赖性是整个行业的共同特征。此外，关系的依赖性和方向在结构破坏时会发生变化。