Due to the necessity of investigating the relationship between stock markets and oil markets, many experimental researches have been conducted with different methods and data to investigate the causal relationship between stock prices and oil prices. The results of studies in different countries are different, which is due to the existence of some structural differences in these countries. The use of oil price fluctuations as an effective factor on stock prices can be justified by the fact that the fundamental value of stocks in Theory is equal to the discounted amount of expected future cash flows. The second macroeconomic events that may affect oil is the impact of shocks. The current research has focused on the effect of some important economic variables on stock returns in Iran. Therefore, considering oil supply, total demand and oil demand affecting stock market returns, it tries to explain a collective approach on stock returns through structural vector autoregression method. The results of the research showed that oil supply and demand shocks and total demand have an effect on the real price of oil and on real stock returns.