Dissertation (Msc Accounting and Finance)Stock markets are influenced by macroeconomic factors and have a link to real-world activity. This study sought to establish the effect of macroeconomic variables (inflation rate, exchange rate, interest rate, and money supply) as independent variables on stock market return as dependent variable. The study utilized a quantitative research approach and explanatory research was used as the study design. Secondary data were used covering a period of 10 years from 2011 to 2021. The study employed descriptive statistics, unit roots that were tested by using Augmented Dickey Fuller (ADF) and Phillips Perron (PP) unit root test to determine if the variables were stationary or non-stationary. The study used co-integration analysis by employing Johansen test to test the relationship between macroeconomic variables and stock market returns. The study findings indicate that there is co-integration (relationship). Therefore, Error Correction model (ECM) was applied to determine both long run and short run effect of variables on stock market returns. This study came up with the results that money supply, inflation rate and interest rate had significant positive effect on stock market returns while exchange rate had significant negative effect on stock market returns. This study used correlation to determine the strength between macroeconomic variables and stock market returns, on which this test enabled to determine whether multicollinearity problems existed or not. Additionally, the study used Granger causality test to understand the cause and effect of macroeconomic variables on stock market returns. The findings showed that stock market returns affected exchange rate, money supply, and inflation rate except interest rate. The study recommends that investors in stock market should take into consideration the key macroeconomic variables that tend to influence the stock market returns which in turn create uncertainty on return from their investments. More importantly, capital and securities market authorities may have an understanding of the impact of macroeconomic variables on listed firms' stock market returns, as well as monetary authorities' understanding of the effects of macroeconomic indicators on stock market returns and control of the selected macroeconomic variables in order to control stock market return and improve security market stability and efficiency.