The Nigerian Stock Market was analyzed from 1984 to 2009 to see if it follows the efficient markets hypothesis. The results show that the market does not fully follow this theory, as there are predictable patterns in the stock returns. This means traders can make better returns by using certain trading strategies. The findings also suggest that investment capital in Nigeria may not be allocated optimally. Overall, the study indicates that the Nigerian Stock Exchange could benefit from improvements in how information is used and shared.