Investigating the Impact of Inflation and Other Macroeconomic Variables on Stock Returns in Nigeria

This study investigates the impact of inflation and other macroeconomic variables on stock returns listed firms across five sectors: In Nigeria. A GARCH model multivariate panel analysis were used in this study. The results show that negatively significantly impacts short long run an aggregate sectoral basis. Moreover, money supply has a negative positive run, while exchange rate impact. contrast, interest is inversely related to short-run. Therefore, Nigerian Monetary Authority should introduce contractionary monetary policy stable regime order achieve moderate commensurate with economic growth development.