<p>This study examines the effects of oil shocks—including oil supply, oil demand, and aggregate demand shocks—on dirty energy stock markets at a global level, employing a Quantile-on-Quantile Regression (QQR) framework to capture heterogeneous and distribution-dependent responses. By exploring the asymmetric relationships across multiple quantiles, this research provides a nuanced understanding of how different levels of oil shocks impact various segments of the dirty energy sector, including crude oil, gasoline, heating oil, and natural gas stock returns. The findings indicate that oil shocks exert a significant influence on dirty energy stock markets, with variations in impact dependent on the quantile being examined. Notably, positive and negative relationships were observed between oil shocks and dirty energy stock returns across different quantiles, highlighting the complexities and dynamics of the dirty energy market. These insights are especially relevant for investors, policymakers, and stakeholders as they navigate the changing landscape of dirty energy markets in response to fluctuations in oil prices. By identifying the nature of these relationships, this study contributes valuable knowledge to the ongoing discourse on energy sustainability and market integration.</p>