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The present research is intended to study the effect of oil shocks on stock price index in Iran. For this purpose, the appropriate model has been analyzed by means of seasonal data (1997-2011) and Vector Auto-Regression (VAR) technique and Vector Error Correction Model (VECM) method. The results of long run cointegration equation indicated that by assuming other fixed conditions, the positive shock variable has positive effect and also the negative shock variable has negative effect on totalfatcat:qqgqny7qqbaqjhno3e6jfg63ga