This study empirically examines theEffects of Treasury Single Account (TSA) implementation announcement of the 9th August 2015 on share prices of Deposit Money Banks (DMBs) in Nigeria. Employing the standard event study methodology on a sample of thirteen out of the sixteen listed DMBs in the Nigerian Stock Exchange that traded on the 9th August 2015; the study was conducted to establish the significance of the TSA implementation announcement on DMBs share prices‟ cumulative abnormal return on the announcement day,fifteen trading days before the announcementand fifteen trading days after the announcement became public. The study documents a statistically significant cumulative abnormal return of -0.46 before the announcement day, -0.45 0n the announcement day and -0.37on the fifteen trading days after the announcement become public. The study concluded that the TSA implementation announcement led to negative market reaction by investors of DMBs in Nigeria and the negative trend continued for fifteen trading days succeeding the announcement day. It was recommended thatDeposit Money Banks (DMBs) should focus more on their core banking businesses of deposit mobilisation from the private individuals and enterprises rather than depending on government agencies deposit. Also, DMBs should devise new strategies such as increase deposit interest rate and reducing lending rate; as this would entice private enterprises to willingly deposit their money with the banks and would assist in improving their cash balances and intermediation activities.