The purpose of this study is to examine the effect of oil and gas prices on transportation and storage sector’sequity returns in Iran. To this end, we analyze Iranian transportation and storage sector index for the period from the firstweek of January 2005 until the third week of March 2010. Based on the multifactor model and using time-seriesregression, our findings indicate that oil price is not an important determinant of returns in transportation and storagesector. Similarly, the findings suggest that gas price movements do not seem to play a role for transportation and storagesector. However, consistent with the capital asset pricing model (CAPM), the market portfolio is a significant pricingfactor in the sector’s stock returns. In addition, the estimated regression indicates that the exchange rate is not priced for this sector’s stock returns. The results of this study help domestic and potential foreign investors to understand the effectof energy price changes on transportation and storage sector stock returns in order to manage their portfolio effectively.