This paper aims at examining the impact of oil price on GCC countriesí stock market returns. We apply wavelet analysis model for examining the relationship between oil and stock market returns. Using monthly data from May 2005 to December 2011, our results suggest that not all stock market in GCC region have a positive relationship with oil price as some have, instead, negative relationship with oil price. Oil price has a negative relationship with Bahrain, Saudi Arabia and United Arab Emirates. However, in consistent with literature review, oil price has a positive relationship with Kuwait, Qatar as well as Oman. On the other hand, wavelet analysis results show that a low correlation between the two variables exist in the short run but turns to have a highly, positive correlation in the long run indicating that oil has more influential power over stock returns the longer the period is. Furthermore, with the exception of Bahrainís stock market returns, a bidirectional impact does exist between oil and all other GCC stock markets returns. Consistent with expectation, the results of Granger causality of MODWT multi-resolution analysis show that in the long run a strong bidirectional causal relationship exists between oil and each of the stock market returns in the GCC region.