This article investigates the impact of oil price shocks on the stock returns of companies of the oil sector in oil-importing economies. The study considers oil stocks of top five oil-importing economies, that is, India, USA, China, Japan and Korea from 2007–2019. The oil price is considered as the independent variable, whereas the oil sector stock index return is considered as dependent variable. Based on the existing literature, some control variables like stock index return, inflation, interest rates, gross domestic product (GDP) and dummy for US-China trade war are included. Empirical evidence from the returns of oil sector stock index indicates that there is a significant and positive relationship between oil prices and oil sector’s stock returns. The result also highlights a strong relationship between stock market index and oil sector stock index. GDP of the country also leads to a positive impact on returns of oil stocks, although there is no significant impact of interest rates and inflation on the returns of oil stocks.
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