The main purpose of this study is to investigate the volatility of international oil prices and stock market of emerging markets. Emerging markets of Asia has been investigated and evidence is taken from China and Pakistan. The data is collected from 1st January 1998 to 31st December 2013. The monthly data is used for Brent oil prices, stock market (KSE and SSE), CPI and exchange rate of respective countries. Multivariate Cointegration Analysis is being applied along with Vector Error Correction Model. For the sake of analysis, firstly, OLS regression is being applied to test the immediate effects. On second step, unit root test is applied to check the stationarity of data. The results shows that all the variables are integrated at first difference i.e. I(1). When variable are non-stationary and became stationary a differencing then cointegration analysis applied which suggests cointegration equation which further leads the analysis to Granger causality the variables are granger causes each other. Then the VECM model is applied which shows that oil prices negatively impact the stock markets in emerging markets as these countries are oil importing countries. Lastly Impulse Response and Variance Decomposition which forecast the impact of oil effect on stock markets. After that asymmetric effects have been observed in the stock markets. Key Words: Strategic Oil Prices, Stock Exchange, Emerging Markets, Vector Error Correction, Impulse Response, VAR, Variance Decomposition.