Effect of crude oil price volatility on stock market performance in Nigeria (2010–2025): evidence from multiple volatility measures

Abstract

Purpose: This study examines the effect of crude oil price volatility on stock market performance in Nigeria from 2010 to 2025 using multiple volatility measures. Specifically, it assesses the effects of realised (historical), conditional, implied and asymmetric crude oil price volatility on stock market performance. Methodology: The study utilised weekly secondary data covering January 2010 to December 2025, comprising 835 observations. Stock market performance was measured using weekly changes in the Nigerian Exchange All-Share Index, while crude oil price volatility was captured using realised volatility, Generalised Autoregressive Conditional Heteroskedasticity (GARCH) volatility, the CBOE Crude Oil Volatility Index (OVX), and Exponential GARCH (EGARCH) volatility. Exchange-rate change, inflation change and Monetary Policy Rate change were included as control variables. The study employed descriptive statistics, unit-root tests, volatility modelling and autoregressive regression with Heteroskedasticity and Autocorrelation Consistent (HAC/Newey–West) standard errors. Results and conclusion: The findings revealed that realised volatility, GARCH volatility, OVX and EGARCH volatility had no statistically significant effects on stock market performance in Nigeria during the period under study. Although the four measures capture different dimensions of crude oil price uncertainty, the results were broadly consistent across the alternative specifications. The study therefore concludes that crude oil price volatility, irrespective of whether it is measured historically, conditionally, implicitly or asymmetrically, did not independently exert a statistically significant effect on Nigerian stock market performance over the study period. Implication of findings: The findings suggest that investors, portfolio managers, regulators and policymakers should exercise caution in relying on crude oil price volatility as a standalone indicator of movements in the Nigerian stock market. Greater attention should be given to domestic macroeconomic conditions, market-specific factors and other channels through which developments in the crude oil market may influence stock market performance.