A Study of the Role of Religious Months in the Relationship between Investor Sentiment and The Risk Of Crashing Stock Prices with an Emphasis on the Moderating Role of Corporate Governance

This study intends to investigate the role of Religious Months on the relationship between Investor Sentiment and The Risk Of Crashing Stock Prices by emphasizing the role of corporate governance. The specific Religious Months in this study include holy months of Ramadan and Muharram. In this study, variables in corporate governance include The CEO tenure, CEO duality, board independence, board ownership, audit firm size, and institutional investors’ ownership. The research sample consists of 132 companies observed over a period extending from 14/8/1392 in Solar Hijri calendar (SH) (or 1/1/1435 or first of month of Muharram in Islamic calendar (AH)) to 19/6/1397 in Solar Hijri calendar (SH) (or 29/12/1439 or last day in month of Dhu al-Hijjah in Islamic calendar (AH)). In this study, Multivariate Regression Model for panel data was used to analyze the data and test the hypotheses. The research results indicate a significant difference between Investor Sentiment, on one hand, and stock returns on the other hand during Islamic months of Ramadan and Muharram compared to other months. Also, corporate governance was found to have a significant impact on the relationship between investor sentiment and stock returns. In other words, in case of companies with higher corporate governance levels, investor sentiment tends to have a more favorable impact on stock returns.