Abstract

The primary objective of this study is to examine the effect of macroeconomic variables on share prices in Nigeria. The All-Share Index (ASI) was employed as the dependent variable, while exchange rate, interest rate, and inflation served as indicators of macroeconomic performance. The study adopted an ex post facto research design, using secondary data sourced from the National Bureau of Statistics, World Bank Data Catalogue, and the Nigerian Exchange Group for the period 1989–2023. To satisfy time series and regression assumptions, diagnostic tests including unit root, heteroscedasticity, and Johansen co-integration were conducted to examine normality, stability, homoscedasticity, and long-run relationships among variables. Ordinary Least Squares (OLS) regression was applied to test the hypotheses. The findings indicate that exchange rate and interest rate exert significant effects on the All-Share Index, whereas inflation has a negative but statistically insignificant influence. The study concludes that macroeconomic variables are viable and sensitive economic indicators for predicting share price behavior in the Nigerian economy. Based on these findings, it is recommended that the government implement targeted intervention policies aimed at enhancing broad-based stock market performance, supported by monetary policy instruments facilitated through financial institutions.