This study examined the effect of macroeconomic variables on stock performance in Nigeria. Macroeconomic variables that were used are inflation rate, unemployment rate, real gross domestic product and balance of payment. Stock performance was measured by all shares index (LNASI). Unit root tests were conducted using Augmented Dickey Fuller (ADF) and Philip Perron test (PP). The result showed that all variables were integrated in the same order 1(1). Johansen co-integration test was conducted and it was observed that there are long run relationship among macroeconomic variables and stock performance. Vector Error Correction Model (VECM) result showed that inflation rate and unemployment had negative significant effect on all shares index while balance of payment and real gross domestic product had positive effect on all shares index. The study concluded that for stock exchange market to perform well, macroeconomic variables must be favorable. This implies that these variables must be stable so as to enable investors have an assurance of their investment.

Keywords : Macroeconomic Variables; Stock Exchange Market; All Shares Index; Inflation Rate; Unemployment Rate; Real Gross Domestic Product