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The calendar structure of the Japanese Stock Market

Author

Listed:
  • 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)

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 1. 1 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.

Suggested Citation

  • Shigeki Sakakibara & Takashi Yamasaki & Katsuhiko Okada, 2009. "The calendar structure of the Japanese Stock Market," Discussion Papers 2009-31, Kobe University, Graduate School of Business Administration.
  • Handle: RePEc:kbb:dpaper:2009-31
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    File URL: http://www.b.kobe-u.ac.jp/paper/2009_31.pdf
    File Function: First version, 2009
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    References listed on IDEAS

    as
    1. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    2. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, June.
    3. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
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