Fawale, Busayo AyinlaUdenwa, Theresa AOlaolu, Emmanuel Oladele2023-12-102023-12-102002-05-12Kakoti, D. (2019). An Empirical investigation of the macro determinants affecting India’s stock market volatility: An econometric study. International Journal of Scientific & Technology Research, 5(12). Keswani, S., & Wadhwa, B. (2019). Effect of macroeconomic variables on stock market: A conceptual study, International Journal of Management, IT and Engineering, 7(10). Keynes, J. M. (1960). The General Theory of Employment, Interest and Money. New York: London Macmillan & Co. Klialid, W., & Khan, S. (2017). Effects of macroeconomic variables on the stock market volatility: The Pakistan Experience. International Journal of Econometrics and Financial Management, 5(2), 42-59.doi: 10.1269 l/ijefin-5-2-4. Mahzabeen, S. (2016). Impact of Money, Interest Rate and Inflation on Dhaka Stock Exchange (DSE) of Bangladesh. Journal of Business and Technology, 1(2). Molefhi, K. (2019). The Impact of Macroeconomic Variables on Capital Market Development in Botswana’s Economy. Botswana Institute for Development Policy Analysis. BIDPA Working Paper 62. Ndlovu, B., Faisal, F., Resatoglu, N.G., & Tursoy, T. (2018). The impact of macroeconomic variables on stock returns: A case of the Johannesburg stock exchange. Romanian Statistical Review nr. 2.https://keffi.nsuk.edu.ng/handle/20.500.14448/954The effects of interest rate and money supply on stock exchange provide important implications for risk management practices, financial securities valuation and government policy towards financial markets. This study investigates the effects of interest rate and money supply on stock market liquidity in Nigeria for the period 1985-2020. The study proxy market liquidity with stock market return, employed ex post facto research design, secondaiy data were extracted from Central Bank of Nigeria Statistical Bulletin and Nigerian Stock Exchange Reports and Unit root tests were carried out which re\>ealed variables to be stationary at first difference. The Johansen co-integration was applied to examine the co-movement of the variables but these were not cointegrated, hence, the need to employ Vector Auto regression estimation technique with Variance Decomposition and Impulse Response Function to analyse the data. Findings suggest that interest rate has a significant negative effect on stock market liquidity while money supply has significant positive effect on stock market liquidity in Nigeria. The study concludes that shock from interest rate reduces stock market liquidity while shock from money supply increases stock market liquidity. However, shock from money supply has more expansionary power on stock market liquidity in Nigeria. This study recommends that the Central Bank of Nigeria should reduce the interest rates in order to stimulate the stock market liquidity in Nigeria. Also, the Central Bank of Nigeria should control money supply and explore other measures such as contractionary open market operation to mop-up excess liquidity where and when necessary.enInterest Rate, Money Supply, Stock Market Liquidity, Vector Auto regression.Article