You could try to find what you need at the World Bank Data. It is hard for anyone to tell you ahead what you will need, because that depends on what school of thought you are part of. But I am pretty sure that world bank data will have most macroeconomic variables you will need.
Hello! A lots of data you can find on World Bank statistics: www.data.worldbank.org. Also, some data could be find od IMF statistics on link:
www.data.imf.org. You could use data from Nigerian statistics. I saw some data on National Bureau of Statistics (www.nigerianstat.gov.ng) and on Central bank od Nigerian, in field Statistics (www.cbn.gov.ng). Just one remark - it is important in analysis use the date from the same source, because it could be some difference in the date because of methodology that they collect. Good luck!
THE QUESTION ASKS FOR A RESEARCH OUTCOME. There is no such data. Data allows you to answer what is the "impact" of capital market on the Nigerian economy by using ghat data in testing, etc. If you research on this topic, try review literatures on the impact of capital market on the economy elsewhere and then test it on Nigeria.
This type of data should be published by a research institute that conducts research on this topic in a given country. Alternatively, the output can usually be found on the websites of the stock exchange and the statistical office in your country.
Firstly decide your variables for measuring capital market and Economy. Literature review will help in this. After finalising the variables collect data on the given parameters. You can take help of Google( any search engine) or world bank data.