The study employs the Markov switching regression to examine the dynamic effects of crude oil price movements on sector returns in Saudi Arabia, the United Arab Emirates, China and India given the impact of the global factor. The evidence from the Markov switching model with dynamic transitions indicates that crude oil and the global factor are significant in explaining the dynamic transition between the specified regimes. We find that the expected regime durations in India are the highest across the sample. We observe that the consumer durables and construction sectors in India exhibited the longest expected duration in stable regimes, whereas the banking sector lasted much longer in recessions.