This study reveals the nonlinear relationship between oil price volatility of the developed countries and emerging stock market returns. We analyzed the effects of oil price volatility of the developed markets i.e. India, United States and United Kingdom on the emerging stock market returns. We used VAR, Granger Causality, impulse responses and logistic transition based autoregressive model (LSTR) in two groups. In group one, we considered US oil price volatility with six emerging countries and regions stock market returns i.e. France, Spain, Malaysia, Japan, Singapore and Taiwan. In group two, we considered oil price with respect to India with the same six emerging countries stock market returns. The data covers the daily closing prices for seven years from 2011 to 2017 for emerging countries and for oil prices the data we use West Texas Intermediate (WTI) spot price of crude oil for US and India. This study helps the investors to understand the impact of oil prices of US and Indian market with respect to emerging markets and whether to identify the dependency of emerging stock markets returns on the oil prices of US and India. All the analysis was performed by using R and EVIEWS software.