According to the existing literature different types of calendar anomolies have been observed in developing and emerging countries but this study examined particularly monthly anomaly in energy sector firms of Pakistan. Changes in stock returns are analyzed by monthly anomolies by taking 20 firms from energy sector, during the period January 1, 2001 to December 31, 2016.By using ARCH and GARCH model with dummies, we find persistence evidence of monthly anomolies in Pakistan’s energy sector Supervisor:- Dr. AHSAN-UL-HAQ SATTI