This study aims to investigate the long run and causal relationships between real GDP, inflation and stock market returns in Nigeria. The study uses annual time series data-set for a sample of 28 years from 1985 to 2013, on the basis of data availability. To achieve this objective, Johansen (1988) co-integration approach and VECM framework have been applied. The results indicate a significant long run positive relationship between real GDP and stock market returns in Nigeria. It is concluded that there is a significant negative long term relationship between inflation and stock market returns in Nigeria. VAR result, suggested that no short term relationship between real GDP and stock market returns, while inflation have short run relationship with stock market returns in Nigeria. Furthermore, the results of Granger causality test indicate a strong significant unidirectional causality at 1% level, running from stock market returns to real GDP. It concluded that there is feedback relationship between stock market returns and inflation, and between real GDP and inflation. This has the implication that, policies that will promote sustainable economic growth may be pursued.