Investor sentiment is a key concept in behavioral finance, it has attracted the interest of many researchers over the last decade. The present study develops a new measure of investor sentiment which includes indirect indicators. Our main objective is to test the impact of investor sentiment on returns on the Tunisian stock market. We construct the composite sentiment index using indirect indicators measuring sentiment (the performance index, the number of IPO, the average profitability of the first days of the firms newly introduced, the volatility premium, the Premium Dividend and finally the turnover rate) and based on the analysis of the principal component. Using a VAR model, we record a strong negative relationship between investor sentiment and future returnsaccording to the test results of the Granger causality and impulse response function. In addition, we find that of all past actions with different characteristics are not factors that explain the sentiment indicator. Key Words: Investor Sentiment, Stock Return, Market Timing, Var Model.