This study traces impact of China Pakistan Economic Corridor project announcement on information transmission between Pakistan’s stock market PSX (formally KSE-100 index) and Chinese stock markets i.e. Shanghai Stock market and Shenzhen Stock market. Daily data from 1st January 2010 to 30th of November 2017 is utilised for tracing information transmission between both countries’ stock markets. To analyse the pre and Post-impact of CPEC on financial markets the data is subdivided into two parts. First subpart contains data from 1st January 2010 to 20th of April 2015 for pre-CPEC analysis, as CPEC project was officially announced on 20th of April 2015 when honourable Chinese president ‘Mr. Xi Jingping’ visited Pakistan. 2nd subpart contains data from 21st April 2015 to 30th of November 2017 for post CPEC analysis. For tracing information transmission and volatility modelling appropriate univariate GARCH family models are used i.e. GARCH (p, q) and GJR-GARCH (p, q). The data from 23rd December 2016 to 30th of November 2017 is also analysed as a special case to check out the impact of Chinese investment in purchasing Pakistan stock market shares on mean spillover effect between both countries’ financial markets. As on 23rd December 2016 Chinese consortium bids the highest price per share to purchase 40% shares of PSX. Returns series has utilised rather than series at level. The descriptive statistics of stock markets indices return series depicts that all returns series have stylised properties of financial return series. Return series are non-normal, not symmetric and skewed. All return series are stationary and have ARCH effect. By analysing the whole data set we conclude that there is unidirectional mean spillover effect exist from Shanghai SE to PSX and Shenzhen SE to PSX. While there is n0 volatility spillover effect among these financial markets neither unidirectional nor bidirectional. While by analysing the pre-CPEC dataset we found that there exist no mean spillover affect neither vii unidirectional nor bidirectional between Pakistan, Shanghai and Shenzhen stock markets. In case of volatility spillover effect we found unidirectional volatility spillover effect from Shenzhen SE to PSX, while there is no volatility spillover effect observed between PSX and Shanghai in a pre-CPEC period. While Post-CPEC period analysis leads us to conclude that there is unidirectional mean spillover effect exist from Shanghai SE to PSX and Shenzhen SE to PSX. While there is no volatility spillover effect among these financial markets neither unidirectional nor bidirectional. By analysing the post period of Chinese investment in PSX shares the results shows there exist no mean spillover effect neither from PSX to Chinese stock markets nor from Chinese to Pakistan stock market in a said period. All this means that CPEC project announcement has influenced the spillover effect between both countries financial markets. There exist a unidirectional mean spillover effect in post-CPEC period in contrast to Pre-CPEC period. So there is a linkage developed between the two countries financial markets after CPEC announcement. Supervisor:- Dr. Saud Ahmed Khan