This study investigated the relationship between crude oil price, exchange rate and sectoral stock prices in Nigeria between 2009 and 2016, using quarterly data collected from the Central Bank of Nigeria (CBN) and Nigeria Stock Exchange. Oil and Gas stock index of the Nigeria stock exchange was considered as dependent variables. The study implemented unit root with and without structural breaks to determine the order of integration and further applied a nonlinear ARDL (NARDL) model, which is an asymmetric extension of the standard co-integration test and the standard ARDL. The NARDL was applied to determine the asymmetric effect of crude oil price shocks on stock prices. Findings from the study indicate that the impact of oil price on stock price is symmetric and not asymmetric in both short-run and long-run and the effect is completely transmitted. The symmetric impact means that a given magnitude of positive and negative oil price shocks will affect the oil and gas stock index in the same fashion. The study concludes that there should be close monitoring of the oil & gas sectors as well as appropriate policy actions to curtail systematic risk in the sector since oil price shocks transmits to oil and gas share prices listed on the Nigeria Stock market since the listed firms will make as much loss as the profit they made when impacted by positive and negative oil price shocks.