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This study explored the casual nexus between stock return volatility and selected macroeconomic variables in an emerging stock market from 1981 to 2018. The study specifically reviewed the effect of industrial production and exchange rate on stock return volatility. The result of the Johansen Co-integration indicates the presence of a casual nexus between stock return volatility and selected macroeconomic variables in an emerging stock market in the long run. The granger causality impact assessment test revealed index of industrial production and exchange rate as the statistically significant macroeconomic variables that influence stock return volatility to a high extent. The result on the significant effect of industrial production and exchange rate lays credence to the existence of a positive and statistically significant relationship on stock return volatility. Investors are admonished to adjust their securities relative to changes in macroeconomic instability with regard to the index of industrial production which determines the level of industrial activities in an economy over a given period.