In a large stock pot, heat vegetable oil over medium heat, add flour, stirring constantly with a whisk until golden brown for about 10 minutes. Be careful not to burn.
Add okra to the roux, reduce heat to a simmer and let cook for about 10 minutes to soften.
Add onions, peppers, and celery, and stir until softened.
Add garlic and cajun seasoning, salt, and pepper. Slowly stir in vegetable broth and bring to a boil, add bay leaves.
Reduce heat to low and simmer until thickened, stirring occasionally, about 35 minutes.
Add shrimp, green onions, and parsley and let cook for about 10 minutes (until shrimp is pink and opaque), taste, and adjust seasonings.
Garnish with green onions and serve over brown rice.