Abstract :The study investigated the fundamental determinants of equity share prices of listed deposit money banks in Nigeria. The study specifically examined the nature and direction of causality among macroeconomic factors, industry-specific factors, firm-specific factors and share prices. This is with the view to providing empirical evidence on the nature and relationship among macroeconomic factors, industry-specific factors, firm-specific factors and equity share price of listed deposit money banks in Nigeria. The data on macroeconomic variables were sourced from Central Bank Nigeria statistical bulletin, while data on industry-specific factors and firm-specific factors were obtained from the bank’s annual reports and accounts for the period 2011 to 2015. Panel data regression analysis was used to determine the nature of relationship among the four classes of variables, while the pair wise granger causality test was used to ascertain the direction of causality among the variables. Result showed that the macroeconomic factors (GDP and INTR), industry-specific factor (SBC) and firm-specific factor (DPS) are significant determinants of market price of shares. This result was also confirmed by the causality result which showed that macroeconomic factors, industry-specific factors and firm specific factors granger cause market price of shares. It is therefore recommended that private investors, institutional investors and financial analyst consider all these factors when making investment decision.