Yes you do observe dielectric anomaly at the magnetic phase transition at zero magnetic field. This is quite common. If you sample is magnetoelectric you will see this. Your sample can as well accuire ferroelectricity at these phase transition. But to show that you have measure pyroelectric current etc.
I agree with prof. Tapan Chatterji, and same kind of observation we have observed too. I would further like to add, if your sample is magnetic, and not having ME still it can show dielectric anomaly at magnetic transition, garnets are examples of these.
But , It is new to me that FE occurs at magnetic transition, I want to know more about these.
It has now become known during the last decade or so that certain cycloidal structures can develop ferroelectricity through inverse D-M interaction. Good examples are TbMnO3 and other manganites. Therese are multiferroics. There are another class of manganites RMn2O5 (R = rare earth) where ferroelectricity is found to develop in the intermediate ordered magnetic phase. Here the origin of the ferroelectricity has been attributed to the exchange striction. In both these two classes however the ferroelectricity appears only in the ordered magnetic phases. Of course there is a further class of multiferroics where the ferroelectric phase transition is at about 1000 K whereas the magnetic phase transition is at about 70 K. These are hexagonal manganites h-RMnO3. Here the geometrical and electron structure effects are responsible for ferroelectricity rather than the magnetic ordering. Still dielectric anomalies have been observed in these hexagonal manganites at the magnetic phase transition presumably due to the magneto-elastic effects. There are plenty of papers written in all these three types of multiferroic materials. You should go through the literature read these papers.