Dynamic Links of transmission return and volatility in the capital markets are of crucial interest to the financial community with the growing trend of financial globalization in the world. This article focuses on the links of return and volatility's transmission between oil markets and stock to a panel of seven countries among the MENA region and Europe over the period 2003-2013. We use a recent approach (VAR-GARCH-DCC) which allows transmissions of return and volatility. Overall, our results suggest the existence of significant returns and reversal volatilities between change of oil price and financial markets. Direct transmission of conditional volatility across markets is, however, more evident from oil to the stock markets. The empirical results of optimal weights validated by a positive coefficient of constant conditional correlation (CCC), indicates that investors can benefit from the added oil prices in a well-diversified equity portfolio. On the whole, to the extent that the transmission of the shock is concerned, changes in oil prices tend to affect significantly but negatively several stock markets in our sample, while the impact of these markets on oil prices is almost absent. In addition, the effect of oil shocks is more pronounced during the crisis period than normal, suggesting that the recent global financial crisis has increased the transmission of shocks of oil on stock markets.