Crude Oil Price Volatility and its Impact on Nigerian Stock Market Performance (1985-2014)

The impact of falling oil prices on stock market and exchange rates differs from country to country, either oil-exporting or oil-importing country. Empirically, previous studies have measured the impact of crude oil price volatility on stock market performance. However, limited studies exist for Nigeria and other oil exporting countries. Thus, this study seeks to fill the gap in existing literature by establishing the nexus between oil price, exchange rate and stock market performance in Nigeria. Using the Ordinary Least Square estimation technique, the basic variables adopted in this study are All Share Index (ASI) which serves as a proxy for market performance, Crude Oil Price (COP) and Exchange Rate (EXR). Annual time series data covering the period of 1985-2014 was used to estimate the model using regression analysis. Based on the Trace statistics result, there exists one co-integrating relationship among All Share Index (ASI), Crude Oil Prices (COP), and Exchange Rate (EXR). The R2 value was 0.505; showing that 50.5% of the variation in stock market performance can be explained by Crude Oil prices and Exchange Rate. The F-statistic value of 2.17 (P