Abstract :
This study aims to analyze the phenomenon January Effect on the infrastructure company. January Effect is the anomaly which presents the return in January more higher than another month in addition to January. Variables used in this research is the stocks return infrastructure company. The sample in this study 16 infrastructure companies listed on the Indonesia Stock Exchange since 2011 until 2015. The analysis technique used was purposive sampling method. Analysis techniqueused is Kruskall Wallis test. Result of analysis is shows that there are differences in stocks return in January with the month in addition to january. But, the different return most in October not in January.
Keywords: January Effect, stocks return.