Most of the studies regarding the effects of oil price shocks on financial markets have revolved around developed countries such as the United States and west European countries. These countries are not only large but, consequently, influential on the overall performance of financial institutions around the world. Turkey has always been considered a unique country not only because of its geographical location, but also its dynamically changing economic structure. Especially recently, significant amounts of foreign capital have been flowing into the Turkish financial sector. For investors, understanding the inner dynamics of a foreign economy is crucial in minimizing risk. This study intends to find the relationship between oil price shocks and industry sub-sectors of the Istanbul Stock Exchange in light of performance of the US stock market. Our study has shown that oil price shocks significantly impact some sectors while others are more driven by fluctuations of US stock market. While some of our findings were similar to previous research, others were significantly different.