This study was conducted to assess the effect of dividend policy on share price volatility of downstream sector of Oil and Gas Company in Nigeria. The population of the study comprised all the twelve quoted oil and gas downstream sector on the Nigerian Stock Exchange as of December, 2016, it covered the period of 5 years from 2011 to 2015. Four companies were selected as sample due to the availability of data. The study employed ex-post factor research design; secondary data were collected from a sample of the study. Descriptive statistic, diagnostic test, correlation and multiple regressions were employed. The study found that dividend policy affects the share price volatility significantly. This result supports the Gordon Theory of dividend, which asserts that dividend payment is relevant and affects the share price of a company.

Keywords: Share price, volatility, dividend policy, Nigeria