This study is an attempt to examine the exchange rate and monetary policy's impacts on the petroleum stock price index through long- and short-run horizons, in Iran, by applying an asymmetric non-linear asymmetric auto-regressive model (NARDL) and monthly data from December 2008 to February 2017. Furthermore, to improve the estimated model results, a group of the OPEC oil price, inflation rate, global gold price, international sanctions has been used as the control variables. Based on the results of the NARDL model, both the exchange rate and monetary policies have, directly an asymmetrically, affected the petroleum stock price index in two various time horizons so that the impacts of each policy's positive components on the petroleum index have been higher than the effects of negative ones. Moreover, in the short run, the exchange rate policies influences on the dependent variable have been more than those of monetary policies, while in the long run, the effects of monetary policies on the petroleum index have more influential than those of the exchange rate policies. Besides, there is a direct relationship between monetary policies, exchange rate, inflation rate, and the dependent variable. In contrast, oil price, gold price, and international sanctions have indirectly affected the petroleum stock price index. Also, the error correction adjustment of the petroleum stock price index to each of the variables, from the fastest to the slowest, respectively, are related to the exchange rate, gold price, OPEC oil price, inflation rate, and finally monetary policies.