The purpose of this paper is to examine how international and domestic oil price impact the stock return in each industry listed on the Taiwan stock market respectively from 2001 to 2011 and investigate the extent of impact of the domestic oil price subsidies by Taiwan Government upon each industry in order to provide an important reference basis for the future policies of oil subsidy. In addition, this paper will explore whether the changes in oil prices will bring a lagged effect upon the return in Taiwan's stock market, so that its efficiency can be examined.