We study the relation between oil and stock market returns for a set of seven countries that are important participants in commodity markets.Total and directional spillover indicators are computed using forecast error variance decomposition from vector autoregressions, and their dynamic nature is explored.We find that, on average, oil markets are net volatility receptors while the stock markets of Norway and the US are the main volatility trasmitters.However, transmission intensities and net positions present considerable time variation, being substantially different in moments of financial distress with respect to normal times.Furthermore, we perform dynamic Granger causality tests on recursive windows to explore the validity of the exogeneity assumption of oil market shocks frequently made in the literature.Our results show the existence of bidirectional causality relations, being stronger from stock to oil markets.The results of this study provide empirical evidence suggesting the validity of the oil markets financialization hypothesis, and have important implications for global investors and policymakers.