The study examined the effect of investors' sentiment on stock market return in Nigeria with consideration to bull and bear market cycles which most past studies neglected. The dependent variable was proxy by Stock Market Returns (SPR) while the explanatory variables were investors sentiment (SentPCA), Interest Rate(INTR), Inflation Rate (INFL) and Exchange Rate (EXRT), while bull events (positive market returns) and bear market event (negative market returns) were used as moderating variables to investors sentiment. In this study, quarterly data from 1985Q1 to 2014Q4 were collected from secondary sources such as CBN, NSE and SEC while in the estimation of the models formulated, statistical techniques which include descriptive statistics, correlation analysis, unit root test, Engel-Granger co-integration test, overparameterized and Parsimonious error correction model (ECM) were adopted. 

The results from the study show that investors' sentiment had a statistically significantly relationship with stock market returns dynamics in Nigeria but when moderated for bear market cycle, the impact of investors sentiment on stock returns in Nigeria became statistically insignificant. In the case of Bull market cycle, it was observed that there was a statistically significant relationship between investors' sentiment and stock market returns. 

We also found that exchange rate variation was more potent in distorting stock market returns dynamics in Nigeria than interest rate and inflation rate. Notably, inflation rate was found to have less value relevant to equity investors in Nigeria. This study therefore makes the following conclusions that investors in Nigeria's equity market are likely to take market sentiment news and exchange rate announcement more serious than interest rate and inflation rate when investing in shares. During the bear market cycle, most equity investors would completely try to stay off the market waiting for another bull market run. 

The study recommends that investors and capital market participants should develop strategies for managing sentiment while policy market should develop policies that would prevent extreme market sentiment and also maintain stable exchange rate and interest rate environment that promote less volatile stock market.