We examine seasonal anomalies in Johannesburg daily stock returns from January 1973 to September 2012. This paper focuses on three seasonal effects: day-of-the-week, beginning-of-the-month and month-of-the-year. We found no compelling evidence for either a January or December effect in the South African market. Instead, our results support the presence of strong Monday and Tuesday effects, whereby the returns on Monday and Tuesday are significantly lower than the return on the benchmark day of Wednesday. Moreover, the beginning-of-the-month effect is quite pronounced in which second and third trading day returns are significantly larger than returns in other trading days. Nevertheless, these strong day-of-the-week and beginning-of-the-month seasonal effects disappear in the post-2008 period following the global financial crisis. It appears that the South African stock market may have filtered out seasonal anomalies and become more efficient in the aftermath of the recent global financial crisis.