The relationship between oil prices and stock markets in countries like the USA, China, Russia, and others was studied from 2000 to 2018. A special model was used to see how oil prices affect stock market returns differently over time and in different market conditions. The results showed that stock markets react differently to changes in oil prices, with negative changes having a bigger impact than positive ones. During the financial crisis, the two markets were closely connected. This information is important for investors and policymakers when making decisions about investments.