This study examines the macroeconomic determinants of stock returns in Nigeria over the period 1985-2016 using the ARDL approach to cointegration and error correction model.  Our findings have shown that GDP is not significant both in the short and long run, while, Interest rate and money supply exert position positive and significant influence on stock market returns while inflation negatively affects stock market returns in Nigeria. Our findings have shown that GDP significant both in the short and long run, while, Interest rate and money supply positively influence stock market returns while inflation negatively affects stock market returns in Nigeria. It was also found that these macroeconomic variables significantly affect stock market returns in Nigeria. The results in general highlight the need government and monetary authorities to provide policies that will ensure sustained economic growth and development. CBN should continue its policy target on economic activities and investment.