This study analyzed the spillover effects of United States monetary policy on Nigeria’s stock exchange market. The period of study accounts for U.S. conventional monetary policy (CMP) from 1985 to 2007 and unconventional monetary policy (UMP), from 2007 to 2020. Considering the volatility of financial time series variables, the study used monthly data and employed BEKK-VARMA-CCC MGARCH model based on relevant pre-tests. Findings reveal that U.S CMP and UMP have spillover effects on the Nigeria’s stock market, with, the U.S. exchange rate, having a significant positive spillover effect on the Nigeria’s stock exchange market. Further findings reveal that the present volatility in the Nigerian stock exchange market is largely caused by its own past shocks and past, conditional variance of related macroeconomic variables and the volatility due to spillover effects of U.S monetary actions. Thus, the Central Bank of Nigeria should focus on strengthening the exchange rate by pursuing a managed float exchange rate system in order to hedge the spillover effect of U.S. exchange rate on the Nigeria’s stock market.