This study analysed risk return relationship of the electricity companies of Pakistan by using the return series of these electricity companies. Financial time series data have the property of autoregressive heteroscedasticity so the ARCH test can be used. As this study requires to analyse the risk return relationship so, GARCH-M Model of Engel et al (1987) is used, the study empirically found relationship between risk and return. The global financial crisis (GFC) of 2008 badly affected the economy of the whole world but here we find that GFC (2008) has not significant effect on the risk return relationship of the electricity companies of Pakistan. The electricity sector of Pakistan showed only Hub Power Co ltd Company significant relationship between risk and return in while all the reaming electricity companies had no significant risk return relationship. Rather risk return is a paradox in case of Pakistan electricity sector. Supervisor:- Dr Abdul Qayyum