PurposeThis paper has analysed the impact of cultural dimensions, investor sentiment and uncertainty on bank stock returns. Also, the study examined the influences of the interaction between cultural dimensions and individual (private) sentiment (investor sentiment).Design/methodology/approachTo meet the study's objectives, a two-step generalised method of moments estimator was applied to the study sample, which included 105 banks in the nine Middle East and North African region countries between 2010 and 2020.FindingsThe cultural dimensions of individualism and masculinity were found to have a positive and significant effect on banks' buy and hold stock return (BUH). At the same time, power distance and uncertainty avoidance were discovered to have negative effects. Besides, the findings revealed that the interactions of power distance, individual sentiment and uncertainty avoidance had positive and significant relationships with banks' BUH. However, individualism, individual sentiment and masculinity had inverse relationships with banks' BUH. Furthermore, the findings revealed that investor sentiment positively influenced banks' BUH. Finally, uncertainty influenced banks' BUH stock returns positively.Research limitations/implicationsImportant implications for participants in the financial sector and governments may be learnt from this study's conclusions. Due to cultural biases, this study's findings suggested that investors overreact in the stock market.Originality/valueAdditionally, this research comprises one of the few studies that have overviewed the link between classical and behavioural finance in MENA countries with distinctive cultural characteristics.