Asymmetric information, investor heterogeneity, and rationality-based stock market theories were challenged for their dominance when they were unable to account for the irregularities and inefficiencies seen in both developed and emerging markets. This study examines the impact of stock market anomaly on stock return of the Nigerian stock market between 2018 and 2024. The study employs quantitative approach and expost facto research design with multiple linear regression technique to analyze the relationship between the All Share Index (ASI), which serves as the dependent variable, and the NSE 30 Price and Day of the week, which serve as the independent variables. The study revealed that day of the week effect significantly influence stock return while NSE 30 Price has no significant impact on the return of the Nigerian stock market. The study concludes that the market anomaly is an important driver of stock market return in Nigeria. These findings have important implications for academics, investors and policymakers in Nigeria.