This study examines the response of foreign direct investment (FDI) to asymmetric changes in stock returns in Nigeria. We employed disaggregated monthly data for Nigeria (1985M01–2017M12) to test the magnitude of stock returns’ elasticity of FDI using a nonlinear ARDL modelling framework. By controlling for exchange rate and output size, evidence of asymmetric response of FDI to stock market returns in Nigeria could not be denied. Hence, sustainable development in Nigeria requires a long-run balance between FDI and Stock market through a stable exchange rate management system and efficiency of the capital market is necessary for increased FDI.