In this paper we employ a data set of logarithmic nondividend adjusted daily returns from the Hong Kong Stock Exchange Hang Seng Index, over a thirteen and a half year period to investigate the presence of the January effect, or other monthly seasonalities. Further, we partition our data set into two subsamples, which allows us to test for persistence of any monthly seasonality we uncover. However, our results are somewhat surprising, we can find no evidence of a January effect or any other monthly seasonality. Indeed, we note that for two of our data sets, the mean return for December is less than that for January. We conclude that these results are peculiar to the Hang Seng Index, as the overwhelming majority of previous studies of other Stock Indices, generally detect some form of monthly seasonality.