The interest of the scientific community and financial market participants in identifying the factors that influence investment returns in various sectors of activity has led us to analyze whether in the last decade (2011-2021), the correlations between oil prices (WTI and Brent) and shares prices have been retained or have changed. We also analyzed the impact of the price of oil (WTI and Brent) on the price of oil stocks traded on the Bucharest Stock Exchange (and Vienna) and vice versa, from December 2011 to December 2021, using the correlation and causality test VAR Granger, on a daily frequency of data. The study included three oil companies (OMV Petrom and Rompetrol Rafinare listed on the Bucharest Stock Exchange and OMV AG listed on the Vienna Stock Exchange) and five stock indices: the two major US indices (Dow Jones Industrial Average and S&P500), the EUR stock market index (Euro Stoxx 50), the China50 stock market index (China being the largest importer oil) and the Russian RTS index, a country whose economy is significantly dependent on oil and gas exports. The results showed there a unidirectional influence of WTI oil price on OMV AG price and a bidirectional influence between the WTI oil price and the Russian capital market (significant at 5%). At the same time, there is a lack of influence of Brent oil price on the oil companies and stock indices included in this study. The study found an influence between the studied capital markets: unidirectional in the case of US indices, the Chinese and OMV AG, OMV Petrom and the Russian capital market and a bidirectional one in the case of the Chinese and USA, Russia and US and OMV Petrom and US capital markets.