The purpose of this paper is to investigate whether oil prices have an asymmetric impact on the stock market. First,we use semi-structured self SVAR (semi-structural var) model to identify endogenous structural crude oil supply shock, oil demand and speculative demand shocks. Then we separate each shocks into increase and decrease parts to discuss whether the shocks of oil prices changes will cause asymmetric influence on the stock market. It means that there is significant influence on stock price as oil prices rise and no significant influence as oil prices fall. Otherwise, there is no significant influence on stock price as oil prices rise and significant influence as oil prices fall.