Energy is one of the most important parts of daily life and economic life. Today, it is seen that the energy sector has an important share in the economies of countries. On the other hand, energy, whose importance is increasing day by day, pushes countries to new searches due to the scarcity of resources, and causes significant investments to be made in the sector. Not only governments and businesses, but also portfolio investors can invest in the sector privately. However, possible changes on both the supply and demand side cause uncertainty in energy prices, which may affect the profitability of the companies operating in the sector and thus the returns of equity investors who prefer to invest in the energy sector. In this context, the main objective of the study is to determine the relationship between energy uncertainty and energy sector returns. For this purpose, the relationship between the Global Energy Uncertainty Index and the energy sector index returns of 37 countries is analyzed by using the Fractional Frequency Flexible Fourier Form Toda and Yamamoto (FFFF-TY) causality test developed by Pata and Yilanci (2020) for the period of January 1996 and October 2022. The results show that there is a causal relationship from energy sector returns to energy uncertainty within the scope of the countries analyzed. In addition, it is also found that the identified relationships are generally persistent.