This thesis identifies different underlying oil price shocks to investigate the consequences of these shocks on the volatility of stock market prices in Pakistan which is highly import dependent countries. With some reasonable modification to the existing approach, this thesis uses Non-Linear Auto regressive distributed lag model to investigate the response of stock price volatility to oil price shock specifically oil demand shocks, oil supply shocks and oil specific demand shock by using monthly time series date from 2001-2018 for Pakistan. The analysis is carried out in two steps. In the first steps underlying source of oil price is identified. In the second step, the impact of these oil price shocks on the volatility of stock prices is analyzed for Pakistan. Bound test for nonlinear co-integration result indicate that there is long run association among the projected variables. The results of NARDL model is summarized as, except oil specific demand shock all variables have a long run and short impact on stock market volatility with different magnitude which may contribute in asymmetry. This asymmetry impact of projected variables is investigated with the help of WALD test. The result shows that in long run, oil supply shock, oil demand shock has an asymmetric effect on volatility of stock market whereas, oil specific demand shock test statistics indicate the absence of asymmetric effect. While in short run only oil demand show an asymmetric impacts and rest of the two variables namely oil supply shock and oil specific demand shocks results indicate that there is no asymmetric effect on volatility of stock prices. Supervisor:- Dr. Saud Ahmad Khan