The purpose of this study is to examine the impact of FII on stock market volatility. For this purpose we collect monthly frequency data from Jan-2005 to June-2016 from state Bank of Pakistan and stock market of Pakistan. We check the volatility of the series, auto correlation and distribution of the series through visual inspection. Than we perform pre-estimate test for both series. ARCH test suggest that there is ARCH effect in the return series of Stock Market and FII. Then we apply GARCH (1, 1) from the model result we concluded that stock market return volatility depends on its own previous shock as well as depends on its own previous volatility, or we can say that today stock market return is affected by its own previous information as well as affected by its own previous volatility. Result also shows that volatility of stock market return of Pakistan is also affected by the volatility of foreign portfolio investment. Supervisor:- Dr. Usman Mustafa