This paper examines existence of January effect in Dhaka Stock Exchange (DSE) in Bangladesh. Regression model combined with dummy variables and monthly DSE All Share Price Index (DSI) from January 1987 to November 2012 has been used to test January effect in the stock return in DSE. It was empirically found that, although January anomaly doesn't exist in DSE, there is significant positive return in June which raises question against efficient market hypothesis (EMH). Thus, there is an opportunity for investors to take advantage of this June anomaly.