This paper investigates whether stock markets respond to disease pandemic referencing the case of COVID-19 in Nigeria. The paper employs three cointegrating regression models: Fully Modified Ordinary Least Squares, Dynamic Ordinary Least Squares, and Canonical Cointegrating Regression to analyse the effect of growth in total COVID-19 confirmed cases and related deaths in Nigeria and across the globe from 27 February 2020 to 4 September 2020 on the stock market performance. Key findings support the presence of long-run association between stock market returns and COVID-19 in Nigeria. The stock market is found to respond negatively to both domestic and global growths in total confirmed cases and deaths of COVID-19. Consequently, affected businesses in Nigeria should be assisted and bailed out by the government through practices such as tax filing, subsidies, targeted spending, and credit.
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