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This paper examines the shock spillovers between US sectors and their dependence on the intersectoral business linkages. Our forecast error variance decompositions reveal significant shock transmissions among trading sectors, especially in turbulent periods such as the financial crisis and the COVID-19 pandemic. The dymamics of shock spillovers reflect the impacts of the pandemic on economic sectors. Shock spillovers are shown to be influenced by the strength of the intersectoral trading relationships. Shocks to a sector's important supplier have a strong impact on the forecast error variance of the sector's stock return. The total directional spillovers from/ to a sector are linked with the number of close commercial linkages between that sector and other sectors., Supplementary Information: The online version contains supplementary material available at 10.1007/s10479-022-04979-8., Competing Interests: Conflict of interestThe authors have no conflicts of interest to declare that are relevant to the content of this article., (© The Author(s) 2022.)