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Economic policy uncertainty generally tends to induce a pessimistic view of future market behaviour. Furthermore, instabilities in global oil prices have serious implications for the economies of oil exporters and importers, due to their over-dependence on crude oil for revenue and production activities, respectively, and thereby on stock market indices. Against limited empirical evidence, this study examines the spillover effects from global economic policy uncertainty (GEPU) and oil price volatility to the volatility of the stock market indices of oil exporters and importers in both developed and emerging economies. The results show that the spillover effect from GEPU to oil exporters is relatively smaller than to oil importers, for both developed and emerging countries. Conversely, the volatility spillovers from oil prices to oil exporters are relatively larger than to oil importers, for both developed and emerging countries. Specifically, the volatility spillovers from oil prices to oil exporters (importers) in emerging countries are relatively stronger compared to oil exporters (importers) in developed countries. The findings indicate that the volatility of the stock markets of emerging countries is more sensitive to global factors such as GEPU and oil price volatility, and that oil exporters and importers in emerging economies are more sensitive to oil price volatility than oil exporters and importers in developed economies, which is in line with previous studies.
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