This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by an oil price factor. Results are estimated using both domestic and US dollar oil prices. Several industries (e.g. chemicals, engineering and machinery, food processors and transport) are found to be statistically significantly sensitive to the oil price factor in the long run, whereas no such sensitivity is detected in the short run. Our results indicate that longer period return generating intervals might offer a better setting in which to explore the oil price sensitivity of stock market returns in the South Asian markets. Currency of measurement of oil price appears to be irrelevant.