Using two alternative approaches, this paper attempts to shed light on the volatility spillovers between crude oil markets and major stock markets. The first approach is based on the two-step technique suggested by Cheung and Ng (1996), and the second approach is founded on a multivariate generalized autoregressive conditional heteroskedasticity (GARCH)-type process. The empirical investigations were focused on West Texas Intermediate (WTI) and Brent crude oil cash prices and six major stock indexes, covering daily frequency data for the period 1989–2007. The findings indicate that oil price volatility has, in general, a negative impact on stock market behavior. Also, some asymmetry and persistence on oil price volatility have been detected. These results are consistent with those of previous empirical studies and have many practical implications for managing international portfolios and hedging risk on international equity and crude oil markets.