The　asymmetric　effects　of　oil　price　shocks　on　stock　returns　have　attracted　the　attention　of　many　researchers　in　the　past　several　decades.　Most　of　these　researchers＇　studies,　however,　do　not　separate　out　the　sources　of　oil　price　shocks　when　examining　the　asymmetric　effects.　In　this　article,　we　address　this　limitation　using　a　two-stage　Markov　regime-switching　approach.　Our　results　indicate　that　oil　supply　and　demand　shocks　have　a　null　or　minimal　impact　on　stock　returns　in　a　low-volatility　regime　and　a　statistically　significant　impact　in　a　high-volatility　regime.　We　observe　that　oil　demand　shocks　affect　stock　returns　significantly　more　than　oil　supply　shocks.　A　positive　aggregate　demand　shock　significantly　increases　stock　returns,　whereas　a　positive　oil-specific　demand　shock　markedly　decreases　stock　returns.　These　results　have　important　implications　for　policymakers　and　investors.