In view of the dependency of Iranian economy to oil revenues and influencing of different economic sections of oil price fluctuations, employing monthly data and structural VAR technique this paper has been tried to investigate the effect of oil price fluctuations on stock prices index's changes in Tehran stock market. Analyzing of impulse response functions suggest that the structural shock of increasing oil price fluctuations during two period (two months) leads to raise in stock prices index's changes and then the effect of shock disappears.