The purpose of this study is to diagnose the causal relationships between crude oil price and the indicators of the stock market, and on the economic growth in Nigeria, a typical oil-dependent economy during the regime of global financial crisis and regime of no global financial crisis using a dummy-augmented Toda and Yamamoto causality testing procedures. Dummy-augmented model is used to assess the relative causal impacts of the variables on another in the regime of global financial crisis and regime of no global financial crisis. The results of the empirical findings imply that the causal relationship between the oil prices, the stock market indicators and the economic growth may be better in diagnosed if adequate attention is given to the two economic regimes using the augmented T-Y model.
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