Empirical evidence shows that the effects of the rising oil price on macroeconomic variables in oil-exporting countries like oil-importing countries does not equal effect with the reducing oil prices. One of these macroeconomic variables is stock price index. In this regard, this paper tries to study the short-term and long-term asymmetric effects of oil price shocks on the stock price index using monthly data during the period 1991:1-2011:12. First, the cointegration bounds test (provided by the Pesaran et al. (2001)) confirms the asymmetric long-run equilibrium relationship, then these asymmetric effects are measured with using the Nonlinear Auto-Regressive Distributed Lags model (NARDL) (presented by Shine et al. (2011)). The results of this study show that negative effect of oil price shocks on decreasing of stock price index is larger than positive effects of its shocks on increasing of stock price index in the short-run and long-run horizon. According to the other findings, the volume of money with positive effect has the greatest impact on the stock price index in the short and long term. Additionally, the effect of exchange rate and GDP on the stock price index in the short-term and long-term is negative and positive res