Abstract
This work focuses majorly on modelling the dynamic relationship that exists between crude oil prices, stock market indicators and the economic growth in Nigeria using vector autoregressive (VAR) model and cointegration analysis. Market Capitalization and Exchange Rate were used as proxies for stock market indicators and economic growth. The series consist of monthly data points from 1995:1 to 2014:11 totalling up to 239 observations obtained from the Nigerian stock market and Central Bank of Nigeria bulletin. From the study, there exists a viable, long run and sustainable relationship among the series from the cointegration analysis. Two cointegrating equations were found to exist among the variables. The dynamic relationship that exists among these variables can be captured with a vector autoregressive model of order three (VAR(3)). Structural inference was carried with the VAR model and from the result it was noticed that the Nigerian stock market behaviour and the economic growth can better be predicted when taking the past values crude oil prices into consideration. These results mean that the crude oil prices, stock market movement and the economic growth have a long term and sustainable equilibrium relationship and that stock market movement and the economic growth are affected by the distortions in the prices of the crude oil.