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Nigeria has witnessed several uncertainty inducing events, especially in the period following
the 2008-2009 Global Financial Crisis. Thus, this study investigated the effect of economic
policy uncertainty on the Nigerian stock market over the quarterly period of 1997Q1 to
2019Q4. The study used the autoregressive distributed lag framework and found that: there is
a stable long-run relationship between economic policy uncertainty and the all share index of
the Nigerian Stock Exchange (NSE); and that economic policy uncertainty impacts
significantly and adversely on the all share index of the NSE. Even when these findings were
subjected to robustness checks using the NSE market capitalization, they remained consistent.
Fluctuations in oil price and depreciations in the naira to U.S. dollar exchange rate were also
found to impact adversely on the stock market. Overall, the study concludes that the Nigerian
stock market requires a more certain and investment-friendly environment to thrive.
