Following a report of a possible seasonal in Australian share prices [Praetz (1973)], a study was made of the behaviour of share returns using different data and methodology to that of the original report. The test included forecasts of the seasonal using Box and Jenkins methods. Although the results indicate some evidence of a seasonal, it is shown that this is not prima facie evidence of market inefficiency. It is suggested that a more likely explanation is related to the structure of the economy, e.g., changing opportunity cost of money through the year.