Efficient Market Hypothesis (EMH) says that the efficient market reacts quickly to relevant information. The news would be reflected immediately in the securities prices without delay and neither technical analysis nor fundamental analysis would enable the investors to generate abnormal returns and outperform the market. However, there have been many studies performed and show the empirical results that oppose the theory of EMH (anomalies). One of the most documented anomalies is January Effect. The objective of this study is to see the existence of January Effect of mining industry stocks portfolio during the period of January 2006 to March 2011. The independent variables chosen are January month, mining industry index return in excess of risk free rate, SMB and HML. The hypotheses developed will be tested using the econometrics empirical model and the parameters will be estimated using Ordinary Least Square (OLS). The Eviews 5 software is chosen to run the calculation. Further, the data for this study is collected from the official website of Bank Indonesia and E-trading database. The model to be estimated in this study is estimated from Henke (2003) January Effect model, which uses dummy variable and assign 1 to month of January and 0 to non-January months, and Fama & French Three Factor Model. This study found that the January Effect exist for S/L and B/H portfolios, the return of mining industry index in excess of risk free rate affects all portfolios, company size affects the return of small portfolios and book-to-market equity affects the return of high- and low- BE/ME portfolios.

Keywords: January Effect, mining industry index return (in excess of risk free rate), SMB and HML.