The real return of investors in stocks is determined not only by the return of stocks, but also by the time and capital inflow and outflow from it. Therefore, in this study, we have differentiated between the two concepts of investors' returns from stocks and stock returns, and unlike previous researches, we have used money-weighted returns instead of the percentage of price changes as a measure of Investment return. In order to compare the volatilities of investors' returns and stock returns, we have examined their volatility behavior on the TSE Index. Then, we have examined the safe heaven and hedge capability and the risk spillover effect of the dollar on the returns of investors and compared the results with the returns of the index. The results indicate that there is a significant difference between the volatility of investors' returns from stocks and stock returns, and the volatility of investors' returns is lower than the volatility of stock returns. Because investors tend to fluctuate with the market flow and enter the market in periods of high volatility to earn short-term profits and exit the market in periods of low volatility. Examining conditional volatility models shows that stock returns have stronger leverage effects and more stability and durability in their shocks. At the end of the research findings, it is confirmed that the gold coin has a safe heaven and hedge capability for investors, and there is no evidence that there is a risk spillover effect from the dollar_rate on investors' returns.