This paper examines the effects of oil price shocks on stock returns in OECD countries, specifically Canada, France, Germany, Japan, United Kingdom, United States, and Norway. The empirical method used is the vector autoregression (VAR) model where a generalized impulse response function is applied to the results of the VAR to determine how stock prices respond to a shock in oil prices. The VAR model uses quarterly data for the period 1994 to 2016 for the following variables: interest rates, real GDP, real stock returns, real UK Brent crude oil, and APSP crude oil index. To take into account structural changes and different geo-political and economic events within the data, the whole sample is divided into multiple sub-periods. The results suggest no relationship between oil price shocks and stock returns in developed countries when taking into account the full sample period. When the sample is segregated the results illustrate a negative relationship of oil price shocks to stock returns in the second sub-period(2003, Q1 – 2008, Q3) for France and a positive relationship in Canada in the third sub-period representing the time period of 2008, Q4 to 2012, Q2. The results suggest the necessity to segregate the data in order to take into account structural changes across time and present little evidence for fluctuations of oil prices impacting stock returns.