Financial markets in emerging economies include complicated liquidity, risk transmission, and asset price interconnections. Investment patterns, asset valuation, and financial stability in Nigeria are affected by market liquidity changes. This study explores endogenous liquidity, financial risk transmission across markets, and asset pricing anomalies in Nigeria’s financial system. Empirical and theoretical insights into how financial system liquidity circumstances affect risk propagation and financial asset pricing inefficiencies are sought. The quantitative analysis uses secondary data from major Nigerian financial institutions and market platforms. To discover financial market behaviour patterns, market liquidity indicators, asset returns, and macroeconomic control variables are analysed. The study examines how internal market mechanisms affect price discovery and asset appraisal by analysing liquidity measures like turnover ratios, bid-ask spreads, and market depth. The study found that Nigeria’s financial market liquidity significantly affects financial risk transmission across asset classes. Equity market volatility and asset pricing model deviations were increased by liquidity shocks. The emergence of persistent asset pricing anomalies, particularly those related to market momentum and size effects, challenges market efficiency assumptions. The study shows how endogenous liquidity affects asset price behaviour and systemic risk in emerging economies, adding to the literature. This has major ramifications for investors, financial institutions, and market stability policymakers. Strengthening liquidity management mechanisms and increasing market transparency can improve pricing efficiency and reduce systemic vulnerabilities in Nigeria’s financial markets. 

Keywords: Endogenous Liquidity, Dynamics Risk, Transmission, Asset Pricing, Anomalies, Financial Markets.