Frontier markets are increasingly sought by investors in search of higher returns and low correlation with traditional assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across these markets in order to make better portfolio allocation decisions. This paper employs a bivariate BEKK-GARCH(1,1) model to simultaneously estimate the mean and conditional variance between equity stock markets (twenty-one national frontier stock indices and two broad indices-the MSCI Frontier Markets and the MSCI World) and oil prices. We examine weekly returns from February 8, 2008 to February 1, 2013 and find significant transmission of shocks and volatility between oil prices and some of the examined markets. Moreover, this spillover effect is sometimes bidirectional.