This study is devoted to investigating the asymmetric effects of oil prices on stock returns for Hanoi Stock Exchange (HNX). The data used in this study are weekly series of HNX-Index, WTI crude oil prices and geopolitical risks (GPRs) Index covering the period from January 2, 2010 to December 31, 2023. This study employed a nonlinear Autoregressive Distributed Lag (NARDL) bounds testing approach to estimate the short-term and long-term asymmetric effects of oil prices on the market returns. We found that in the short-term, oil prices have negative asymmetric effects on the market returns. Specifically, 1% increase in positive changes of oil prices immediately leads to 0.0085% decrease in the market returns. However, 1% increase in negative changes of oil prices is associated with 0.1487% decrease in the market returns. In the long-term, the estimated results confirm that both the negative and positive changes of oil prices have significantly negative effects on the market returns. Finally, the results obtained from the error correction model (ECM) indicate that 81.54% of the disequilibria from the previous week are converged and corrected back to the long-term equilibrium in the current week.