The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate
among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on
stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy
was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were
employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market
volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility
and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the
exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market
practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price
will be factored in time when investment decisions are being made.