In the period of oil crisis, the connection between oil price variations and macroeconomic factors has attained substantial consideration among academic scholars. Oil is the main source of energy in modern era that supports the economic growth, industrial production and other factors. From last few decades, the oil price fluctuations have affected the growth process of developing and developed economies. Although the effect varies, from country to country, due to different monetary policy, oil taxes, industrial infrastructure and oil dependence, most developed oil-importing countries impose high taxes on oil to fulfill economic requirement; such high tax ratio prevents them from oil price fluctuations by adjusting the tax rate, whereas developing countries impose fewer taxes on oil to support their industries but potentially weak to hedge such oil price shocks. Hamilton (1983, 1985) and Mork (1989) proved that oil price adversely affects economic growth. Chang et al. (2011) suggested that oil shocks varies for oil-exporting and oil-importing countries. They also suggested that higher oil price volatility will dampen macroeconomic activities of oil-importing countries due to more oil requirement. A large number of studies also investigated the relationship between macroeconomic variables and stock return in developing and developed countries (Mukherjee and Naka 1995; Bailey and Chung 1996; Kwon and Shin 1999; Johnson et al. 2000; Haque and Sarwar 2012; Mireku et al. 2013; Garba 2014). Mukherjee and Naka (1995), Kwon and Shin (1999) and Haque and Sarwar (2012) reported the signifi- cance relationship between macroeconomic factors and stock return, whereas number of researches reported the inconclusive role of macroeconomic variables to determine the stock returns. Garba (2014) examined the impact of inflation, interest rate, exchange rate and gross national income on common stock return of Nigerian manufacturing firms; the results reported the insignificance of all macroeconomic variables to determine stock returns. Mireku et al. (2013) investigated the effect of inflation, exchange rate and interest rate on Ghana stock price movement and concluded low significance of these macroeconomic variables. Johnson et al. (2000) reported the insignificance of macroeconomic factors to determine the stock returns of 25 emerging economies. Sharpe (1964), Lintner (1965) and Black and Scholes (1974) introduced the capital asset pricing model to examine the role of market premium to find out the stock returns. Although CAPM is known as first popular asset pricing model to comprehend the mechanism of asset price, later on many researchers criticized the CAPM (Fama and French 1992; Miller 2000) due to the inability to fully explain the stock market returns. Afterward, Fama and French (1992) enhanced the CAPM and presented a three-factor model (TFM) by augmenting size of the firma and book to market. Demirer et al. (2015) used the CAMP, TFM and oil price to explore the most significant predictor of stock return; the results highlighted the role of oil price. The reason behind the highly predictive power of oil price is the role of oil price news that suddenly spread in the market and investors take preemptive investment decisions accordingly. On the other hand, the news regarding companies fundamentals such as size and book to market is not easy to collect or can be speculative; such fundamental news is not able to provide true picture of the firm.