Linkages between oil prices and stock prices of the US banking sector have become more complex with the strong rise in the US production of shale oil. The concern is whether the exposure of the US banking sector to shale oil companies has led to volatility spillover transmission between stocks’ prices of the exposed US banks and oil prices. Using stocks prices data of the four major US banks involved in oil and gas industries and the price of West Texas Intermediate crude oil, we investigate these volatility spillovers from 2006 to 2016, using a vector fractional integrated ARMA. Our results support the existence of such volatility spillovers, suggesting thus a new factor likely to trigger future turmoil on oil markets and in the banking sector.