This study aimed to evaluate the significance and severity of the relationship between market sentiment and the volatility of the Tehran Stock Exchange Price Index (TEPIX). We drew on the principal component analysis (PCA) to provide a composite sentiment index using a set of proxies. In addition, ARIMA-E-GARCH hybrid models were applied to model the volatility of the TEPIX and other control variables. Subsequently, GLS regression was used to measure the impact of market sentiment and the control variables variation on the volatility of the TEPIX. The findings showed that the influences of optimistic and pessimistic sentiment on the volatility of TEPIX were both statistically significant and respectively, negative and positive. However, the severity of these negative and positive effects was slight. Furthermore, we found that the Stock exchange volatility was highly affected by the volatility of the inflation and the liquidity much more than the other variables such as optimistic and pessimistic sentiment.

while the relationship between Stock market return and oil price is of great interest to researchers, previous studies do not investigate Stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and Stock returns of petrochemical companies in Tehran Stock exchange. Using a panel data model and GLS estimation method, we investigated the effect of methanol, propane, and urea prices along with financial variables on Stock returns of six big petrochemical companies during 2001 to 2013. Results show that although changes in prices of petrochemical products have direct effect on Stock returns of all petrochemical companies, this effect is much higher for smaller companies.