Abstract
This study examined the impact of oil price shocks on stock market prices volatility in Nigeria using non-linear cointegration approach labelled as Non-linear Autoregressive Distributed Lag (NARDL) which represents one of the major important contribution to the literature on the subject matter. The study was carried out using a quarterly data for the period of 1986 to 2016. The oil price shocks impact was disentangled or decomposed into oil supply shocks, oil demand shocks and oil specific demand shocks and the results from the empirical analysis revealed that, there is long run relationship among the variables and positive oil price shocks in its various forms which exert positive and significant impact on the volatility of stock prices in both long run and short run except for oil supply shock that have negative impact in the long run, while negative oil price shocks exert negative impact on the volatility of stock prices in both short and long run. However, the asymmetric result using Wald test shows that, the positive impact of these shocks on volatility of stock prices differs in both short run and long run. Therefore, the findings from the study affirmed the presence of nonlinear relationship between oil price shocks and stock prices volatility in Nigeria which is an indication that positive and negative oil price shocks affect stock prices volatility differently and this must be taking into consideration when formulating policy