As one the most important component of the financial market of every country, the stock market plays a significant role in facilitating the transfer of financial resources toward the production sector. Therefore, identifying factors that influence this market as well as the response of this market to the incurred shocks has always attracted policymakers and analyzers. The present study addresses the response of the stock market return index of major oil-importing countries to the oil price shock, oil supply shock and aggregate demand shock during (2010-2021) using Panel Vector Autoregressive (PVAR) method. Based on the extracted impulse response functions (IRFs) the response of the stock market return index of the mentioned countries to the shocks of oil price and oil supply is negative. Also the response of the stock market return index to the aggregate demand shock is estimated to be generally positive. The results of the analysis of variance decomposition that oil price shock, oil supply shock, and aggregate demand shock have the highest effect on the variations of the stock return index, respectively. Considering the estimated values, it seems that these countries have implemented policies to hedge their stock market against the oil price shock because this variable has only a slight share of the dispersion of the return index.
