The study examined the impact of oil price shocks on NSE Banking stock index of the Nigerian stock market. We specified a symmetric model and an asymmetric modelwere oil price is decomposed into its positive and negatice shocks using quarterly data from 2009 to 2016. The study further applied the Wald test to investigateif oil price impact is symmetric or asymmetric.the evidence supports an asymmetric impact of oil price shocks on the NSE Banks stock index. Negative oil price shock is found to have a greater impact on the NSE Bank index than positive oil price shocks of the same magnitude. We conclude that Nigerian Banking sector is exposed to oil and gas sector.The management of such institutions should diversify investiments into other nonoil related businesses to guard against systematic risk and positive and negative oil price shocks that may be transmitted into the stock market.