<p>In the evolution of behavioural finance theories, investor sentiment has emerged as a key factor influencing market dynamics. Using the quantile-on-quantile QQ regression approach, this paper examines the asymmetric impact of investor sentiment on Vietnamese stock market returns. The findings indicate a positive effect of sentiment on returns at the market level, with the impact most pronounced when both sentiment and returns are extremely low, reflecting behavioural patterns such as the “Hold-more” and “Creating-space” effects. Furthermore, analysis of industry-specific sentiment indices reveals that the sentiment-return relationship varies across industries due to structural differences and becomes more pronounced during periods of market extremes. These findings contribute to a deeper understanding of nonlinear behavioural dynamics in frontier markets and offer valuable insights for both investors and policymakers.</p>