**6. Conclusion and policy implications**

In this study we examined the volatility effects of oil price behavior on stock price in Nigeria from the first month of year 2000 to the fourth month of year 2020 using both standard and asymmetric GARCH. Before performing the GARCH, TGARCH and EGARCH, we carried out some preliminary tests such as the ARCH tests for heteroscedasticity, unit root test for stationary test and all the tests show evidence of volatility clustering which necessitate the use of GARCH process on the variables. The standard GARCH was first done and the model with student-t distribution showed goodness of fit. We proceeded to use the non-linear GARCH models such as the TGARCH and EGARCH to account for news, events and information that can filter into the oil market and thereby create asymmetric behavior in the financial market. The non-linear GARCH models also confirm the student-t distribution as the best model for traders in the financial market in Nigeria. In this study, we found oil price volatility to be a significant predictor of stock price returns. Secondly, our study showed that the volatility movement is high and persist over the study period. Also, we found leverage effects in stock price response to oil price. Bad news tends to increase volatility than good news. One of the implications of the findings of this study is that oil price volatility should be considered in the prediction of stock price returns by investors and financial analyst in Nigeria. In addition, the finding implies that most of the investors in the financial market are risk averse; this is because they are more sensitive in their asset decisions to bad news than to good news. This study concludes that bad news have much effects on investors than good news in the movement of oil price effect to stock price returns.
