This research examined the causal relations between share price and macroeconomic variables in Nigeria. Monthly variables from January 2001 to December 2014 are utilized. The Johansen cointegration test indicates long run relationship between share price and macroeconomic variables under study. The normalized cointegrating equations showed that share price is inversely related to exchange rates (LEXR), oil prices (LOP), and interest rates (INTR) while positive relationship exists to money supply (LM2) and inflation (CPI). Bidirectional causality is found between exchange rates (LEXR) and oil prices (LOP) and interest rates (INTR) and oil prices (LOP).
Keywords: Share price, macroeconomic variables, cointegration and Granger Causality