Abstract: This study examines the January effect on stock market returns by using the unconditional and the conditional method. This study uses daily closing prices of 12 firms listed on the Indonesian Stock Exchange by using LQ-45 index from January 2006 to December 2013. Independent sample t-test is applied to examine the significance of the January effect. Results don�t support the January effect by using the unconditional and the conditional method. Otherwise, returns on December are significant higher than returns on January by using the unconditional and the conditional method (down market). But when using the conditional method (up market), returns on January are higher than returns on December but not significant. This is the first comprehensive study of January effect which provides the unconditional and the conditional method on Indonesian data. The findings give important insights into market anomaly, especially the January effect, which help investors to develop a good investment strategy. Investors could buy stocks on January by using the unconditional or the conditional method in down market, with abnormally low returns and sell stocks on December with abnormally high returns by using the unconditional method.