The implication of inflation on stock prices and its market returns, is quite a significant in our economic world today (Gay, R. D., 2016). This relationship has brought about research, which has attempted to explain how a nominal variable such as inflation should influence a real variable, that is, the price of a stock. Recently, findings have indicated an inverse relationship between the stock prices and inflation rates over the years. According to Kuwornu, J. K., & Owusu-Nantwi, V. (2011), these findings contradict the hypothesis by Fisher (1930) who argued that stock prices should be directly related with expected inflation, providing a hedge against the rising prices. This study investigated the implication of inflation on stock prices at the Nairobi Securities Exchange. The objective involves an estimation of a functional relationship between the inflation rates as an independent variable and stock prices as the dependent variable. Also, to validate our findings, we used the consumer price index as an additional measure of inflation within the economy. An empirical investigation was conducted using the annual time series data on the NSE 20 share index and consumer price index between 2009-2013. In addition to which, we also used the both the monthly inflation and CPI rates between the month of January-November 2018 and January-December 2017, as our independent variables and stock prices within the same months as our dependent variable, this would then ascertain any form of variations in the stock market. The OLS estimation technique was employed to estimate a simple regression equation with the stock prices as the dependent variable and explanatory variable as inflation. Inflation rates were then found to have significant negative implication on the stock market prices and returns. The findings of this study can be useful to the investors in better understanding of the impact of inflation on market risk which helps in selecting the appropriate investment strategy. Financial Institutions, which includes The Treasury and The Central Bank, should employ effective measures towards restraining inflation in the country, this will reduce stock market volatility and boost investor confidence.