The calendar structure of the Japanese Stock Market

Shigeki Sakakibara, Takashi Yamasaki and Katsuhiko Okada
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Shigeki Sakakibara: The Society of Business Administration, Kwansei Gakuin University
Takashi Yamasaki: Graduate School of Business Administration, Kobe University
Katsuhiko Okada: Graduate School of Special Topics in Finance, Kwansei Gakuin University

No 2009-31, Discussion Papers from Kobe University, Graduate School of Business Administration

Abstract: We report the Japanese stock market seasonality persisting for more than thirty years. The average return for stocks is significantly positive for months during the first half of calendar year, and significantly negative for months during the last half of calendar year. This `Dekansho-bushi effect' is independent of other known calendar anomalies such as the January effect. `Dekansho-bushi effect' exists regardless of the size and book to market ratio. Dekansho-bushi is a well-known folk song traditionally sung by farmers in Sasayama district, western part of Japan, in Edo era. It virtually advocates the life style that laboring only the first half of the year and spend the rest of the year in frolic.

Pages: 15 pages
Date: 2009-08
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