Abstract
The study investigates the impact of COVID–19 on the stock market and exchange rate in Nigeria. To achieve this objective, the impulse response function of the Toda-Yamamoto model (TY Model), and the variance decomposition were applied to all-share index, exchange rate, oil prices and Covid-19 cases. The impulse response function reveals that all-share index and exchange rate respond negatively to COVID-19 shocks. More so, the forecast variance decomposition revealed that the impact of COVID-19 pandemic on stock market was minimal. In general, the study found evidence of poor performance in the stock market and depreciation of exchange rate due to fall in oil prices. The study recommends effective exchange rate management during periods of crisis, and the diversification of the economy to broaden export base to mitigate the effect of exchange rate changes on the stock market and other sectors of the economy.
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