<p>Fluctuations in oil prices significantly influence global financial markets, especially impacting equity returns in emerging economies. This study investigates how demand and supply-driven oil price shocks affect stock market returns in BRICS countries (Brazil, Russia, India, China, and South Africa) using a quantile-on-quantile regression approach. Differentiating uniquely between demand and supply shocks under the assumption of a perfectly elastic oil supply within a structural vector autoregressive (SVAR) framework, the study precisely identifies the distinct impacts of these shocks. The findings reveal that the effects of demand-driven oil price shocks on equity markets vary significantly according to each country’s resource endowment, with distinct responses observed between countries rich in resources and those with fewer resources. Additionally, supply-driven oil price shocks impact equity returns differently depending on whether a country is a net oil importer or exporter. These results provide critical insights for policymakers and investors, enabling the formulation of tailored economic policies and investment strategies aligned with the specific economic contexts and conditions of each BRICS nation.</p>