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ABSTRACT
This study examined the influence of macroeconomic determinants on stock price behaviour of listed firms in the Nigeria. Monthly time series data from 1985 to 2021 were sourced from the Central Bank of Nigeria (CBN) statistical bulletin. Preliminary test of descriptive statistics, correlation analysis, unit root test and co-integration and Autoregressive Distributed Lag (ARDL) Error Correction Model (ECM) methodology were adopted. Findings show that previous period information of share price, exchange rate, interest rate, inflation rate and crude oil price have a significant effect on share price behaviour only in the short-run. Longrun effect of the aforementioned variables on stock price behaviour was not found. From the foregoing analysis, this study concludes that share price previous information and other macroeconomic variables considered in the model are significant determinants of share price behaviour in the short-run. In the long-run, the Nigeria Exchange Limited is immune to shock transmitted from macroeconomic variables considered to stock price behaviour within a period of one month.
