This paper examines the dynamic correlation between crude oil and stock market indices of major developed (G7) and emerging (BRICS) economies by analyzing weekly data from January 2000 to March 2017. Results suggest an existence of dynamic correlation between crude oil and stock markets throughout the study period. Results also indicate a considerable increase in dynamic correlation between crude oil and stock markets during the recent crisis. Interestingly, crude oil and indices of developed nations exhibit almost similar co-movements, but the correlation movements between crude oil and the stock indices of BRICS nations show weak homogeneity in the group. The impulse response function in variance (volatility) was employed to investigate the response of stock market indices of G7 and BRICS nations to the shock in the crude oil market and vice versa. Overall, these findings have significant implications for policy makers, investors and portfolio managers.