Abstract
The work is motivated by the desire to investigate the effect of oil price volatility on stock market performance in Nigeria within the period of study. A sample size of 648 months covering 1970M1 – 2023M12 which captured different episodes of crude oil prices. The variables used are oil price volatility proxied by standard deviation of oil price as independent variable and dependent variables include market depth proxied by market capitalization and market liquidity/return proxied by all share index. Using Non-Linear Autoregressive Distributed Lag (NARDL) approach which generated the positive and negative partial sums in oil price changes as explanatory variables, the results show that positive changes in oil price produced a positively significant increase in market capitalisation and All share index. Negative changes in oil price produced a significant and positive effect on market capitalization and All share index while stock market performance symmetrically and asymmetrically adjusts to disequilibrium arising from oil price volatility. The study recommends that the interconnectedness of oil price fluctuations and stock market performance should be used to advance the development of the financial system in Nigeria and other oil-rich African countries.