This research has been conducted with the aim of evaluating the effect of mass media advertisement in the capital market on fluctuations in the total stock index of the Tehran Stock Exchange. The statistical population of this research consists of two groups: the first part includes all the companies admitted to the Tehran Stock Exchange, which were selected by the method of systematic elimination of 92 companies during the years 2016-2020. In order to determine the variable of media advertisement encompassing all those involved in media, financial, and economical sectors, the second sampling was used, which was selected randomly during the year 2019 due to the unlimited statistical population of 325 people. In this regard, the statistical method of this research is based on panel data to investigate the relationship between variables, based on regression. The results of the hypothesis testing showed that mass media advertising in the capital market has a positive and significant effect on the fluctuations in the total stock index in the Tehran Stock Exchange. Also, the control variables of stock returns, trading volume, firm size and firm risk had a direct effect on the fluctuations in the stock index in the stock market, and the variables of competitive strategy, stock price fluctuations, had an opposite and significant effect on the changes in the stock index. Nonetheless, the financial leverage variable did not affect the stock index.