While browsing the jquerymobile website, I see some example like disneyworld using jquerymobile technology. When I click a link to another page, the browser have not refreshed, but a loading indicator displayed on middle, then direct to the destination.
Is this effect belong to AJAX? and how to implement this effect?
An example for this would be appreciated, thanks.

Yes it is ajax, and jQuery mobile has this setting set as default. If you wanted to do it on your website without jQuery, you would need to use GET calls to your back end actions and return the whole Page which will replace the div with ID you are posting from. If you wanted exact code for your language of choice you’d need to tell us what that is.