This study applies panel data analysis on the anomaly return for the computer motherboard and construction sectors. In this research we use the polarity test on assets that have the same behavior function. In the results analysis we find: (1) the computer motherboard sector behaves more efficient than the construction sector in the stock market; (2) the lagged return rate is significant in expending capability; no matte rfor daily or weekly data, (3) the anomaly returns that are described by the firm size and PE rate apparently influence the market.