<p>This research examines the Turn-of-the-Month Effect (TOME) in the Pakistan Stock Exchange (PSX) based on six value-weighted indicators, i.e., earnings-per-share (EPS), book-to-market (BTM), gross profit-to-total assets (GP_TA), sales-to-price (SP), price-to-cash flow (PCF), and leverage (LEV), in three sub-periods: 2014–2018, 2019–2021, and 2022–2023. Using GARCH-family models (GARCH, EGARCH, TGARCH, GJR-GARCH, and PGARCH), it investigates volatility dynamics, asymmetry, and persistence of returns anomalies to determine how efficient the Pakistan equity market has become over time. The findings indicate that the TOME is strong and statistically significant in the two initial periods, and that TOM returns are better than the Rest-of-the-Month (ROM) returns across all portfolios. Profitability-based measures (EPS and GP_TA) have observed the highest TOM premiums driven by liquidity and behavioral trading around the month-end. GARCH diagnostics also substantiate the existence of volatility clustering and asymmetry, as is typical of emerging markets. However, in 2022–2023, TOM coefficients became insignificant or negative, indicating a fading seasonal anomaly as market reforms, digitalization, and regulatory oversight increased informational efficiency. The findings are empirical evidence that the Adaptive Market Hypothesis holds as the Pakistani stock market is moving towards semi-strong efficiency. The paper contributes to behavioral finance and the asset-pricing literature. Moreover, on practical grounds, investors, asset managers, and policymakers can benefit from the results. The findings emphasize that predictable patterns of returns can be addressed through structural reforms and technological progress in emerging financial markets.</p>