- Abbasinejad, H., Mohammadi, S., & Ebrahimi, S. (2017). Dynamics of the relation between macroeconomic variables and stock market index. Journal of Asset Management and Financing, 5(1), 61-82. https://doi.org/10.22108/amf.2017.21153 (in Persian).
- Aghababaei, M. E., & Madani, S. (2021). Investor sentiment and stock return synchronicity in Tehran Stock Exchange. Financial Management Perspective, 11(34), 95-115. https://doi.org/10.52547/jfmp.11.34.95 (in Persian).
- Aminirad, M., Mehregan, N., Shahabadi, A., & Jafari Seresht, D. (2019). Risk aversion and business cycles in Iran’s economy. Journal of Economics and Modelling, 10(2), 35-58. https://doi.org/10.29252/ecoj.10.2.35 (in Persian).
- Badri, A., & Davallou, M. (2015). Investigating the impact of macroeconomic variables on stock market performance. Financial Management Perspective, 6(13), 9-35. (in Persian).
- Bagheri, M. M., & Seddighi, R. (2023). The relationship between credit rating and stock returns with an emphasis on the role of investors' emotions. Journal of Asset Management and Financing, 11(3), 1-22. https://doi.org/10.22108/amf.2023.136083.1771 (in Persian).
- Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x
- Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104(2), 272–287. https://doi.org/10.1016/j.jfineco.2011.11.002
- Bashiri Manesh, N. (2016). The effect of feeling in decision making of investors. Journal of Accounting and Social Interests, 6(2), 93-121. https://doi.org/10.22051/ijar.2016.2433 (in Persian).
- Bathia, D., & Bredin, D. (2013). An examination of investor sentiment effect on G7 stock market returns. The European Journal of Finance, 19(9), 909–937. https://doi.org/10.1080/1351847X.2011.636834
- Bernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market's reaction to Federal Reserve policy? The Journal of Finance, 60(3), 1221-1257. https://doi.org/10.1111/j.1540-6261.2005.00760.x
- Brana, S., & Prat, S. (2016). The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model. Economic Modelling, 25, 26–34. https://doi.org/10.1016/j.econmod.2015.06.026
- Chung, S. L., Hung, C. H., & Yeh, C. Y. (2012). When does investor sentiment predict stock returns? Journal of Empirical Finance, 19(2), 217-240. https://doi.org/10.1016/j.jempfin.2012.01.002
- Cootner, P. (1962). Stock prices: Random vs systematic changes. Industrial Management Review, 3(2), 24–45.
- Dahmene, M., Boughrara, A., & Slim, S. (2021). Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter? International Review of Economics & Finance, 71, 676-699. https://doi.org/10.1016/j.iref.2020.10.002
- Doryab, B., & Salehi, M. (2018). Modeling and forecasting abnormal stock returns using the nonlinear Gray Bernoulli model. Journal of Economics, Finance and Administrative Science, 23(44), 95-112. https://doi.org/10.1108/JEFAS-06-2017-0075
- Friend, I., & Blume, M. (1975). The demand for risky assets. American Economic Review, 65(5), 900-922.
- Ganji, H., Mashayekh, S., & Seddighi, Z. (2023). Examining the impact of investors' sentiment on their expectations of future earnings. Empirical Studies in Financial Accounting, 20(78), 155-190. https://doi.org/10.22054/qjma.2023.73514.2452 (in Persian).
- Gorjipour, M. J., Osmani, F., & Ebrahimi Salari, T. (2021). Investigating the effect of macroeconomic factors on stock returns during the outbreak of Covid-19 (Case study of selected industries of Tehran Stock Exchange). Industrial Economics Research Quarterly, 5(17), 59-70. https://doi.org/10.30473/indeco.2022.8369 (in Persian).
- Gric, Z., Bajzík, J., & Badura, O. (2023). Does sentiment affect stock returns? A meta-analysis across survey-based measures. International Review of Financial Analysis, 89, 102773. https://doi.org/10.1016/j.irfa.2023.102773
- Gupta, R., Hammoudeh, S., Modise, M. P., & Nguyen, D. K. (2014). Can economic uncertainty, financial stress and consumer sentiments predict US equity premium? Journal of International Financial Markets, Institutions and Money, 33, 367-378. https://doi.org/10.1016/j.intfin.2014.09.004
- Hajannejad, A., Amiri, H., & Khoramkohi, A. (2022). Analyzing the effects of investors' sentiments on the reaction to the profit news of companies listed on the Tehran Stock Exchange. Financial Accounting Research, 14(1), 1-20. https://doi.org/10.22108/far.2022.132213.1852 (in Persian).
- Hatamerad, S., Adrangi, B., Asgharpur, H., & Haghighat, J. (2023). Investigating the impact of macroeconomic factors on the Iranian stock price index by using averaging methods. Iranian Journal of Economic Research, 28(95), 193-236. https://doi.org/10.22054/ijer.2023.71810.1164 (in Persian).
- He, Z. (2022). Asymmetric impacts of individual investor sentiment on the time-varying risk-return relation in stock market. International Review of Economics & Finance, 78, 177-194. https://doi.org/10.1016/j.iref.2021.11.018
- Hsu, K. C., & Chiang, H. C. (2011). Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model. The Quarterly Review of Economics and Finance, 51(4), 339-349. https://doi.org/10.1016/j.qref.2011.08.003
- Humpe, A., & Macmillan, P. (2014). Non-linear predictability of stock market returns: Comparative evidence from Japan and the US. Investment Management and Financial Innovations, 11(4).
- Hurd, M., Van Rooij, M., & Winter, J. (2011). Stock market expectations of Dutch households. Journal of Applied Econometrics, 26(3), 416-436. https://doi.org/10.1002/jae.1242
- Kaviani, M., Hosseini, S. F. F., & Dastyar, F. (2020). An overview of the importance and why the stock return prediction, with emphasis on macroeconomic variables. International Journal of Accounting Research, 1505, 1505. https://doi.org/10.22051/ijar.2020.26185.1505 (in Persian).
- Kontonikas, A., & Kostakis, A. (2013). On monetary policy and stock market anomalies. Journal of Business Finance & Accounting, 40(7-8), 1009-1042. https://doi.org/10.1111/jbfa.12028
- Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486. https://doi.org/10.1111/j.1540-6261.2006.01063.x
- Lee, C. M., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109. https://doi.org/10.2307/2328690
- McMillan, D. G., & Speight, A. E. H. (2007). Nonlinear dynamics and competing behavioral interpretations: Evidence from intra-day FTSE-100 index and futures data. The Journal of Futures Markets, 26(4), 343-368. https://doi.org/10.1002/fut.20203
- Mohammadi, T., & Hosseini, S. M. (2022). The impact of monetary policy shock on the stock price bubble (TVP-VAR model). Stable Economy Journal, 3(1), 1-36. https://doi.org/10.22111/sedj.2022.41498.1184 (in Persian).
- Nunjad, M., Zamani Kurdshuli, B., & Hosseinzadeh Yusufabad, S. (2012). The effect of monetary policies on the stock price index in Iran. 9-38. (in Persian).
- PH, H., & Rishad, A. (2020). An empirical examination of investor sentiment and stock market volatility: Evidence from India. Financial Innovation, 6(1), 34. https://doi.org/10.1186/s40854-020-00198-x
- Robiyanto, R. (2017). Performance evaluation and risk aversion rate for several stock indices in Indonesia Stock Exchange. Journal Manajemen dan Kewirausahaan, 19(1), 60-64. https://doi.org/10.9744/jmk.19.1.60-64
- Salmani Bishak, M., Barkhi Asgoi, M. M., & Lak, S. (2015). The effects of monetary and fiscal policy shocks on stock market of Iran. Journal of Economic Modeling Research, 6(22), 93-131. (in Persian).
- Sarantis, N. (2001). Nonlinearities, cyclical behaviour and predictability in stock markets: International evidence. International Journal of Forecasting, 17(3), 459-482. https://doi.org/10.1016/S0169-2070(01)00093-0
- Shen, J., Yu, J., & Zhao, S. (2017). Investor sentiment and economic forces. Journal of Monetary Economics, 86, 1-21. https://doi.org/10.1016/j.jmoneco.2017.01.001
- Silva, T. C., Guerra, S. M., da Silva, M. A., & Tabak, B. M. (2020). Micro-level transmission of monetary policy shocks: The trading book channel. Journal of Economic Behavior & Organization, 179, 279-298. https://doi.org/10.1016/j.jebo.2020.09.013
- Taieby Sani, E., & Nazeshti, A. (2022). Nonlinear effects of interest rates on the total stock market index in the Iranian economy: Markov switching approach. Quarterly Journal of Financial Economics and Policy, 10(37), 113-136. (in Persian).
- Talebloo, R., Bagheri Todeshki, M., & Bagheri Todeshki, M. M. (2022). Testing for asset pricing model based on sentiment indexes: SAPM model. Economics Research, 22(84), 67-101. https://doi.org/10.22054/joer.2022.67623.1058 (in Persian).
- Thorbecke, W. (1997). On stock market returns and monetary policy. The Journal of Finance, 52(2), 635-654. https://doi.org/10.2307/2329493
- Wang, W. (2024). Investor sentiment and stock market returns: A story of night and day. The European Journal of Finance, 1-33. https://doi.org/10.1080/1351847X.2024.2306942
- Zare, H., Rezaei Sakha, Z., & Zare, M. (2021). Risk aversion and value at risk in macroeconomic assets portfolio: An approach of econophysics. Journal of Development and Capital, 5(2), 17-30. https://doi.org/10.22103/jdc.2020.11447.1037 (in Persian).
|