This study examines the relationship between investor sentiments, stock returns and stock volatility. Herding behavior and macroeconomic forces are also used as explanatory variables in this study. Stock returns and stock volatility are used as dependent variables. The main objectives of this research are to examine the impact of investor sentiments on stock returns and volatility and to analyse the impact of macroeconomic forces and herding behavior on stock returns and volatility. The data of non-financial sector of Pakistan has been collected from 2000 to 2017. Panel quantile regression has been used for determining the relationship among dependent and independent variables of the study. Different quantiles i.e. 0.25, 0.50 and 0.75 are used for desired results. Results of this study suggest that investor sentiments affect stock returns and stock volatility at different quantiles. Macroeconomic forces also affect stock returns and volatility at different quantiles but there is no significant relationship among herding behaviour, stock returns and stock volatility. This research will provide benefit to managers, investors and policy makers to make effectives decisions and policies for future investments. Supervisor:- Dr. Abdul Rashid Co-Supervisor:- Dr. Fazal Husain