The Reaction of the Tehran Stock Market to Monetary Shock, Risk Aversion and Investor Sentiments; The Approach Of TR And ARDL Models

From an empirical point of view, in the stock market, high risk should bring more returns is a false assumption, because the main cause of such contradictions is the possibility of investors' emotions. Also, changes in the way financial transactions are carried out and as a result of risk events have prompted monetary policy decision makers to analyze how their actions affect financial markets in this new environment. Therefore, the main goal of this research is to investigate the reaction of Tehran stock market index to monetary shock, risk aversion and investors' sentiments. For this purpose, the results were analyzed using the annual data of Iran during the period of 1401-1370 and using the autoregression with distribution interval and threshold regression models. The results show that the non-linear relationship between all independent and dependent variables is U-shaped, and according to the analysis of the short-term linear model, risk aversion, monetary shock, and investors' sentiments have an effect on the return of the stock market index. have a negative and significant effect. The long-term results showed that only the monetary shock will have a positive and significant effect on the performance of the Tehran stock market index.