This study investigated the relationship between the stock market returns and volatility in Nigerian stock market using the EGARCH – in–mean framework. To carry out this investigation, end of the month stock price data were sourced from the Nigerian stock Exchange Fact Book. The result reveals that the forecast of variance cannot be used to predict expected returns in the Nigerian stock market. The Nigerian stock market is volatile implying that there exists a high level of risk in stock trading. The market demonstrates a greater probability of large decreases in market portfolio returns than increases. The result however, indicates a low persistence of volatility clustering suggesting that increase in volatility is not likely to remain high over several periods. Thus, investors in this market are not rewarded for their exposure to risk. The study also reveals that there exists a leverage asymmetric effect in the Nigerian stock market during the period of study. That is an unexpected drop in price (bad news) increases predictable volatility more than unexpected increase in price (good news) of similar magnitude.