This paper adopts GARCH model and Granger causality test in variance to uncover the volatility spillover effect between Singapore and New York markets, based on the daily data of oil price in two markets ranging from July 1992 to November 2003. Our findings indicate that there exists unilateral volatility spillover from New York to Singapore, which manifests that the information flow is from New York to Singapore. The existence of volatility spillover is the sign of integration of international oil market. The comparison between the oil price of Singapore and that of China further reveals that the oil price information transmits from New York to Singapore and then to China.