DYNAMICS OF STOCK MARKET DEPTH AND RETURNS TO CRUDE PRICE CHANGES IN NIGERIA

Abstract This study is set to investigate the responsiveness of stock market depth and liquidity to movement in prices of crude oil in Nigeria. Using a monthly series covering a 52-year period, 1970M01– 2022M12, the study adopts the ARDL model to measure not just the short-run elasticity but also the long-run and error correction profile of the investigated series. The results arising from the study indicate that favourable change in crude price upscales market liquidity and also deepens the market. The results suggest that the interconnectedness between the performance of the stock market and movement in crude price can be explored to the advantage of economies in the shape and form of Nigeria. Additionally, countries that export crude oil are by this alerted to the need to build safety nets against the adverse shocks that can come to the stock market in the event of a downward movement in crude price.