This paper explores the existence of a calendar seasonality at Muscat Securities Market (MSM) that is the month-of-the-year effect. It employs Ordinary Least Squares (OLS) and estimates dummy variables for the whole sample period of January 2005 to July 2016. Tests were also repeated using three different models for conditional variance; GARCH, EGARCH and TARCH. This paper confirms the existence of positive and significant returns during April compared to remaining months. Average returns in April are two times higher than average returns during the rest of the year. A possible explanation for April effect is investors’ reaction to dividends distributions when returns rise substantially in April that follows the month of earning announcement of March. The results of this paper are important for investors and researchers alike. Investors can exploit this calendar anomaly through developing a strategy that purchases stocks at the end of November and sell at the end of April. The large spread in returns between April and November and the low transaction costs suggest the feasibility of such strategy. Researchers, on the other hand, need to consider April effect in portfolio construction, the evaluation of fund performance, as well as in asset pricing tests.