This study aims to examine the effects of oil prices on stock prices in Turkey using the Residual-Augmented Least Squares (RALS) cointegration method. Energy is one of the fundamental inputs in production, and fluctuations in energy prices affect production costs. The impact of energy price changes varies depending on whether a country is an energy exporter or importer. In energy-exporting countries, increases in energy prices can reduce production costs for firms, boost sales and profitability, and positively affect their stock prices. Conversely, in energy-importing countries, rising energy prices increase production costs, reduce sales and profitability, and negatively impact stock prices. In this study, oil—one of the most important energy sources and a key production input—has been considered. Fluctuations in oil prices not only affect production costs but also influence consumer expectations. The study specifically investigates the effects of oil prices on the Borsa Istanbul 100 index and sectoral indices, taking into account that oil price volatility may have differential impacts across sectors. The analysis employs the RALS cointegration method proposed by Lee, Lee, and Lm (2015). This method is preferred due to the tendency of financial series to deviate from normality, as RALS provides robust results even when the normality assumption is violated, in contrast to traditional methods. The findings of this study are expected to provide significant insights for investors and contribute to the academic literature on the relationship between energy prices and financial markets.