Despite the critical role of inflation rate risk and equity risk premium in shaping market dynamics, there remains a significant gap in understanding their specific impact on the development of Nigeria's capital market, raising concerns about the efficacy of current policy interventions and investment strategies. Given this foregoing, this study examined the effect of inflation rate risk, equity risks premium on capital market development using time series data spanned over a period of thirty-one (31) years 1992-2022. The study adopted the ex-post facto research design and the secondary data used in the study was sourced from CBN annual statistical bulletin for the relevant years. Descriptive statistics, Augmented Dickey Fuller Test (ADF), error correlation model and the ordinary least square (OLS) regression techniques were the main statistical tools used to analyse the data with the help of E-view 12 statistical package. The finding of this study revealed that inflation rate risk has negative and insignificant effect on capital market development. Conversely, equity risk premium exerts negative and a significant effect on capital market development in the context of Nigeria respectively. The study recommended that government should implement policies aimed at controlling inflation and promoting sustainable economic growth to mitigate its adverse effects on market dynamics. Also, foster collaboration between researchers, policymakers, and market practitioners to develop evidence-based policies addressing factors driving equity risk premiums and promoting market stability.