This study notices the Karachi Stock Exchange efficiency by investigating one of the calendar anomaly the "Moharram Effect" on 10 listed companies of Cement sector by using Event Study. We measured the data of market index and stock prices from 2000 to 2013. This study has collectively insignificant effect of Moharram on the stock returns of selected companies of Cement Sector. However individual years have shown some positive and negative significance of abnormal returns which negates the theory of Efficient Market.