The aim of the research is to validate the relationship between macroeconomic variables and the movement of share prices in Nigeria brewery industry. The level of association of the variables is evaluated using the ordinary least squares method, modeled in form of multiple regression. Granger causality method was applied to examine the causality relationship among the variables in the short run. Augmented Dickey- Fuller (ADF) test was conducted while the Phillip-Perron’s (PP) test was applied for robustness check for stationary of the data series. All the variables except interest rate had the data series differenced at second difference. Interest rate was differenced at level and intercept. Significant relationship was found between inflationary rate and share price as well as between real gross domestic product and share price as about 95% of the variations in share price could be explained by the independent variables. Positive and strong correlation exists between share price and real GDP as well as exchange rate while a weak and negative correlation is found between share price and interest rates. A strong and negative correlation exists between inflationary rate and share price. No causal relationship is indicated by Granger causality test in the short run. The paper recommends that in the pursuit of the millennium development goals and the realization of transformation agenda of the federal government of Nigeria, the planners of the economy should take the interactions of these macroeconomic variables and share prices into consideration in setting fiscal, monetary and other economic and investment policies
Keywords: Brewery, Causalities, Macroeconomics, Regression, Share Prices
