This paper is discussing about the relations between oil price return towards oil and gas sector return in oil importers (China, Japan and Singapore) and oil exporters (Russia, Norway and Canada). Many studies have been done concerning oil price relations with stock market, as well as oil price relations with some sectors in stock market. To the best of our knowledge, none of them have studied oil price relations with oil and gas sector on oil importer and oil exporter. In addition, this study also include the impact of oil price shock (supply shock, aggregated demand shock and precautionary demand shock) towards oil and gas sector return. By using multi-factor model and regression technique, this study found out that both oil importers and oil exporters have positive relation between oil price return and oil and gas sector. During oil price shock, it is found that oil price return and market return effect is indifferent towards oil and gas sector return during oil supply shock, and aggregated demand shock for both oil exporters and oil importers. During precautionary demand shock, there are two effects. The relationship is found to be negative for both sides specific during Libyan Turmoil, whereas it changes into positive during Iraq War II and Arab Spring, but its significance only occur during certain period of time and only for certain countries.

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