This research analyzed the calendar anomalies context in the value premium portfolios to identify the month of the year (MOY) effect in the Pakistan stock market. To evaluate the MOY effect in 6 value premium portfolios, 120 listed firms have been considered. The data of these firms have been taken from the financial statements of the annual reports of the firms for the period 2009-2019. The sample where divided into two sections that are 2009-2014 and 2015-2019 to identify the proper trends in the closing prices of the stocks using OLS regression, GARCH, TGARCH and EGARCH models. These models are used due to the heteroskedastic nature of the data. The results indicates the negative January, June and August and positive March, July, Nov and Dec for return predictability. The results of this research are useful of the local and foreign investors in making proper investments. Moreover, the market analysts can enhance their workings for the proper analysis of the portfolios when calendar anomalies exists in the markets.