The calendar structure of the Japanese Stock Market


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 ratio1.

1Dekansho-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.

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岡田 克彦