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 was 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 indicate negative January, June, and August and positive March, July, November, and December for predictability. The results of this research are useful to the local and foreign investors in making proper investments. Moreover, the market analysts can enhance their work for the proper analysis of the portfolios when calendar anomalies exist in the markets.