The study examined the effect of money market instruments on capital market performance in Nigeria using time series spanned data over a period, 1981-2018. Secondary data were sourced from the central bank of Nigeria statistical bulletin 2018. Descriptive statistics, covariance Analysis, Johansen cointegration and vector error correction model were used in the study, the study is to determine how the trading of commercial paper, Bankers’ acceptance and Treasury Bills affects capital market performance in Nigeria for the period under review. The result of the study indicates that treasury bills (TB) is negative at lags 1 and 2; the implication is that an increase in purchase of treasury bills in the money market would result to a fall in the annual market capitalization of the Nigerian capital market. Similarly, a negative relationship was also noticed between commercial paper (CP) trading and annual market capitalization which implies that an increase in trading on commercial paper will lead to a decrese in the trading of annual capital market. However, a positive relationship was observed between bankers’ acceptance (BA) and annual market capitalization . Following the above results, the following recommendations are made. There should be adequate market information to investor in stocks to enable them transform their stock from money market to capital market depending on the market outlook. Both market (money and capital market) should ensure that they work harmoniously because investors holding one stock can cause adverse negative effect on the other.