This study explores the linear and non-linear impact of Nigeria's oil price and exchange rate on stock market performance from January 1995 to December 2019 using the non-linear autoregressive distributed lag (NARDL) method. The results from the linear ARDL show a long and short-run positive relationship between the Nigerian stock market and crude oil prices while, the exchange rate show an insignificant in the long-run effect but a significant positive relationship in the short run. The non-linear ARDL front, the tests show that the impact of positive shocks in crude oil price has a significant increasing effect on stock market performance in Nigeria, while negative shocks in crude oil prices have a significant increasing effect on stock market performance. The exchange rate has an insignificant relationship with stock market performance both in short- and long-run asymmetric test. The adjustment asymmetry from the dynamic multiplier graphs shows that the response of stock market performance to a negative change in oil price is stronger than that in response to a positive change. Overall, the result provides the need to diversify investment portfolios through the international equity market, keeping a close watch on the oil price fluctuation which is of importance in formulating risk–return portfolios of stock market performance.

本研究使用非线性自回归分布滞后 (NARDL) 方法探讨了 1995 年 1 月至 2019 年 12 月尼日利亚石油价格和汇率对股市表现的线性和非线性影响。线性ARDL结果显示尼日利亚股市与原油价格长期和短期呈正相关关系，而汇率在长期效应中不显着，但在短期内呈显着正相关关系。在非线性ARDL前沿，检验表明，原油价格的正向冲击对尼日利亚股市表现有显着的增效作用，而原油价格的负向冲击对股市表现的增效作用显着。在短期和长期的非对称测试中，汇率与股市表现的关系不显着。动态乘数图的调整不对称性表明，股市表现对油价负变化的反应强于对正变化的反应。总体而言，结果表明需要通过国际股票市场分散投资组合，密切关注油价波动，这对于制定股票市场表现的风险回报组合很重要。