International Journal of Economics, Commerce and Management United Kingdom Vol. VI, Issue 2, February 2018 Licensed under Creative Common Page 509 http://ijecm.co.uk/ ISSN 2348 0386 THE RELATIONSHIP BETWEEN STOCK RETURNS AND INFLATION RATES IN NIGERIA FROM 1995 to 2014 Njogo, Bibiana O Department of Economics, Accounting and Finance, College of management sciences, Bells University of Technology, Ota, Ogun State, Nigeria bibiananjogo@yahoo.com Inim, Victor E Head, International Training Institute, Central Bank of Nigeria, Maitama, Abuja. Nigeria veinim@cbn.gov.ng Ohiaeri, Nnenna V Department of Finance, University of Lagos, Lagos State, Nigeria nnenna_ohiaeri1960@yahoo.com Ogboi, C Department of Economics, Accounting and Finance, College of management sciences, Bells University of Technology, Ota, Ogun State, Nigeria ogboii@yahoo.com Abstract This study focused on determining the relationship between inflation rate and stock returns using the Consumer Price Index and the All Share Index on the Nigerian Stock Exchange covering the period 1995 to 2014. The data were analyzed for evidence of co-integration and causality using Error Correction and Granger co-integration model. The Pearson Correlation result shows that, there is significant negative relationship between stock returns and inflation rates in Nigeria. Augmented Dickey Fuller result shows that the series are non-stationary in their level form and are integrated of order one. Johansen co-integration test result shows evidence of co-integration implying that there is a long run relationship between stock market returns and inflation rates in Nigeria. Furthermore, there is significant negative impact of inflation