We study monthly seasonality in 4 stock market indices and 16 industry indices in the New Zealand stock market. We find that stock returns of 3 market indices and a half of the 16 industry indices are significantly negative in August, and only 4 indices have significantly positive returns in June. The negative returns in August are probably due to the fact that August is the bitterest and rainiest month of the year in New Zealand. For other months there are no typical anomalies. We do not find any January effect in all the 4 market indices. For industry indices, only 2 industry indices exhibit the January effect while another 2 indices have significantly lower returns in August than in other months. The finding that there are no typical seasonal anomalies in both January and April is inconsistent with the tax-loss selling hypothesis as New Zealand has an April-March tax cycle.