Stock market has a close relationship with the economical structure of every country and its weakness or strength can be indicative of the country's economical status; therefore, the recognition of the factors affecting it and the amount of this effect can be of a significant value. One of these factors is monetary policy, which is adopted by the central bank, and is the focus of the current study. The current study objective is to investigate the monetary policies effects exerted by the central bank on the stock price and stock returns in the Tehran's stock market during the years from 1999 to 2010. The hypotheses test method in the current study is the linear regression in the form of combinational data time panel, and time series which is conducted by making use of Eviews software. The study results implies that in the firm level, liquidity has a negative and significant relationship with stock returns and it has a positive and significant relationship with the firm stock price at the end of the period. In the market level, unexpected changes in the monetary policies does not show an effect on the stock returns, but the expected changes have a negative and significant relationship with the stock returns. Also, the effect of the monetary policies and the stock returns is asymmetric. Overall, the evidence lends support to the notion that the monetary policy announcements have a significant effect on stock market.