The relationship between world Energy market and Stock market in per country are very important in studying of stock market’s efficiency, the choice of portfolio and pricing the assets. The purpose of this study is establishing a Conditional relationship between global energy market and Iran’s stock market by investigation the relationship between some risk factors (Oil price risk, Market risk, Skewness and Kurtosis) and stock return. The approach taken in this paper uses a Multi- Factor Model with consider to the direction of markets (Up or Down). We have selected 5 largest energy consumer industries in Tehran stock exchange in period of 1384-90. The results declare that in Up (Down) Oil market, there is an asymmetrical positive (negative) relationship between Oil price risk and Stock return. Also the findings show that the relationship between Market risk and stock return is asymmetrical and positive (negative) in situation of Up (down) in Tehran’s Stock exchange. So we can express that the changes in the global Oil price and changes in the Market return has a big asymmetrical effect on mentioned industries’ return.