The objective of my study is to investigate the mean, volatility and cross spillover effect amongst Gold market, Stock market and Forex market in case of Pakistan. For this study we can use the daily data from the period of Jan, 1, 2014 to Oct, 15, 2018. The data is taken from Business recorder. The variables used in this study are gold price, stock price and US dollar exchange rate. Using ADF augmented dickey fuller test for stationary, normality test, serial correlation test and GARCH (1,1) for the estimation of volatility spill-over effect between these selected markets. The results indicates that Mean spillover effect between gold market and stock market and the effet is un-directional and there is a Volatility spillover effect between these two markets and the effect is bi-directional and also cross volatility spillover effect between gold market and stock market. In case of gold market and forex market no Mean spillover effect is there. There is a Volatility spillover effect between stock market and gold market and also bi-directional cross volatility spillover effect between these two markets. In case of stock market and forex market the result shows that there is no Mean spillover effect and there is a volatility spillover effect between stock market and forex market. Cross volatility spillover effect is there and the effect is effect is bi-directional. Supervisor:- Dr. Saud Ahmad Khan