This study investigates the Markov-switching regression model on economic variable using time series data spanning from 1985-2014. The stock data are regime dependent and the two regime multivariate Markov switching vector autoregressive (MSVAR) model is used to examine the structure of the Nigeria stock index prices. It is found that MSVAR model with two regimes detect shifts in the return series and shows evidence of switching in the stock market return series. It is also found that the return series are well fitted by MSVAR model and filtered probabilities can be extracted from the data to evaluate the strength of moving from one state to another. Also, MSVAR model captures the sudden changes in the stock data using exogenous variable which is unobserved and follow a stochastic process. It is recommended that the investors on the stock market should be cautious because the stock market is unstable.