**3. Source of data and variable definition**

The data used for this study were monthly data from the period of January 2000 to April 2020. The data were sourced from the Statistical Bulletin [19] published by Central bank of Nigeria (CBN) and the United State (US) Energy Information Administration [20]. Specifically, the Brent oil price was sourced from the US Energy Information Administration while the equity All Share Price Index (ASPI) was sourced from CBN and augmented with the monthly online data of Nigerian Stock Exchange [21]. The reason for the choice of equity stock price over bond is due to its high risk, high volatility and its sensitivity to market events and financial news which normally affect its returns. Bonds, on the other hand, offer lower

returns with fixed interest and less sensitive to financial news and risk. Also, the choice of Brent spot oil price as against West Texas Intermediate (WTI) oil price is because the Nigeria's oil export is usually measured and priced in Brent oil market while the WTI is a bench mark for North American market. The stock price is measured as the monthly equity investment of ASPI in Naira on Nigerian Stock exchange while the Brent oil price is the monthly global oil price in US dollar per barrel (pbl) in the international oil market. The returns of both stock price and oil price were generated through the log of difference (*d* log*X*) of the series which can be mathematically written as: *d* log*X* ¼ log*X* � log*X*ð Þ �1 .
