The main objective of the study is to investigates the relationship between trading volume and returns of the Pakistani market for the period of 1st September 2013 to 30th October 2018. The Dickey-Fuller test is applied to test the stationarity of the time series data of the Pakistan stock exchange (PSE-100). The ARCH and GARCH-M models are used to test the relationship stock return, volatility and trading volume. The results indicate that there is evidence of first order autocorrelation in market return and individual stock returns. The results of Granger Causality test suggest that there is feedback relationship between the market return and volume. However, in case of individual stock returns the evidence indicates that stock return causing volume while trading volume cause returns. The empirical results verify that there is significant interaction between trading volume and return volatility when volume has been taken in to variance by using of GARCH-M model. The findings suggest that there is significance effect of the previous day trading volume on the current return and this implies that previous day returns and volume have explanatory power in explaining the current market returns. The presence of significant autoregressive process of first order in the GARCH-M model indicates that the relationship of firm’s volume with the future lags of return Supervisor:- Dr. Abdul Rashid