This paper uses the dynamic connectedness framework to investigate the interrelationship between the decomposed oil supply, demand and risk shocks that Ready (2018) developed and the stock market returns of emerging market economies. For this purpose, we use daily data from 11 October 2001 to 5 April 2021. Novel empirical methodologies, including wavelet quantile correlation (WQC), cross-quantilogram analysis, nonparametric causality-in-quantile approaches, contemporaneous R2 connectedness approach and generalized R2 connectedness approaches, are employed. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies, reflecting historical events. Demand price shocks are regarded as net transmitters within the system, whereas supply and risk price shocks are net receivers of spillovers. Concurrently, our findings indicate a considerable degree of dynamic connectedness among the stock markets of emerging market economies. In particular, the stock markets of Brazil, Mexico, and Argentina have been identified as net transmitters of spillovers. In contrast, the stock markets of Turkey, South Korea, Malaysia, Indonesia and India are classified as net receivers of spillovers. Furthermore, we examine and document the advantages of diversified portfolios that include all sector indices, including oil price shocks and emerging market economy stock markets, in terms of portfolio performance. The insights offered here are valuable for investors and policymakers striving to enhance their strategic approaches in today's interconnected global financial context. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies and reflect historical events. Demand shocks affecting the stock market indices of Brazil, Argentina and Mexico tend to act as net spillover transmitters. In contrast, supply shocks affecting the stock market indices of Indonesia, South Korea, India, Turkey and Malaysia mainly act as net spillover receivers. Net pairwise interconnectedness analysis reveals that, except for crisis periods, interactions between financial markets or macroeconomic indicators are evenly distributed. Thus, systemic risk is lower, and markets act independently. Empirical findings obtained using WQC generally show the presence of negative correlations at long-time scales and low quantiles, which is considered an indicator of the safe-haven feature associated with the asset in question. The hedge feature is observed to be evident only at long time scales. The results of the cross-quantilogram analysis show mixed evidence of correlation in all stock indices, especially in the weekly lag structure, compared to daily and monthly lags. Finally, non-parametric Granger causality test results show that stock returns are insensitive to oil price fluctuations, making these markets attractive for investors seeking diversification strategies. These findings provide valuable recommendations for investors seeking sustainable equities in a volatile oil market.