This study investigates the existence of seasonality in Malaysias stock market. The study uses the monthly return data of the Kula Lumpur Stock Exchanges two indices - Composite Index and EMAS Index. After examining the stationarity of the two returns series, we specify a combined time series and regression model to find the monthly effect in stock returns. The study reveals evidence of the existence of seasonality in stock returns in Malaysia. The coefficients for several months are statistically significant. The average return for December is positive, and it is statistically significant in case of the Composite Index. A positive December return rules out the tax-loss selling hypothesis. In Malaysia there are no capital gain taxes for both resident and non- resident investors. The evidence of seasonality implies that the Malaysian stock market is not informationally efficient. Hence, investors may be able to time their share investments to improve returns.