This paper presents evidence of the effects of OPEC policy decisions on the US and UK stock markets, as well as on oil prices, during periods of conflict and non‐conflict from 1986 to 2004. The outcomes of this study are potentially valuable in assessing future strategies for OPEC policy decisions on oil production targets for its Members. This paper also adds to the strong body of evidence supporting the hypothesis that market returns are influenced by factors that affect business conditions, such as oil price shocks. The key findings are that there are asymmetric reactions to OPEC policy decisions during conflict periods for the US and UK stock markets. During conflict periods, oil markets require time to incorporate OPEC decisions. Conversely, in non‐conflict periods the evidence suggests that the oil markets incorporate OPEC decisions efficiently.