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ABSTRACT
This study examines the intricate relationship between macroeconomic determinants and capital market performance in Nigeria. The research employs statistical analysis to investigate how macroeconomic variables such as GDP growth, inflation rates, interest rates, and exchange rates impact capital market indices and investor sentiment in Nigeria. Using data drawn from the World Development Indicators (WDI) and the Central Bank of Nigeria (CBN) Statistical Bulletin, the study employed the VECM analysis. The results found suggest that macroeconomic variables and capital market performance are cointegrated and thus linked in the long run; interest rate, inflation and trade bear a negative relationship with capital market performance; and exchange rate and GDP growth rate are positively related to capital market performance. It supports the Arbitrage Pricing Theory (APT) proposition in the Nigerian context. The study validates the recommendations of Arbitrage Pricing Theory (APT) in Nigeria and provide valuable insights and guidance for decision-makers seeking to navigate the complexities of the financial world and make informed investment choices in an ever-changing economic landscape.
