This paper examines the seasonal properties of Japanese stock prices using
time series data from 1971 through 1997. Of interest are the influences of
particular months of the year, which this study measures for the Tokyo stoc
k price index (TOPIX), and indices that represent companies with large, med
ium, and small numbers of listed shares. The monthly effects in the various
stock indices are confirmed for the total sample period. In contrast, such
effects are not found for the latter half of the sample, and seasonal unit
roots are rejected for all indices. That is, the seasonality of Japanese s
tock price indices is found to be deterministic but not stochastic. (C) 200
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