Seasonal and Size Anomalies in the Japanese Stock Market

Kiyoshi Kato and James S. Schallheim

Journal of Financial and Quantitative Analysis, 1985, vol. 20, issue 2, 243-260

Abstract: Little attention has been paid by the academic community in the United States to the Japanese stock market and its structure. Japan has the second largest economy in the Western world, and the Tokyo Stock Exchange (TSE) is second only to the New York Stock Exchange (NYSE) in terms of aggregate market values and sales volume. Analysis of the Japanese stock market is useful given its relative importance, but, in addition, examination of the Japanese market may offer insights into controversies surrounding U.S. markets. This study focuses on two such current controversies: the January and size anomalies.

Date: 1985
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