"Rasm-e-Hina function of Kosar and Gulzar, aged between 20 and 25, was underway yesterday evening when their brother Nasir Hussain opened fire on them, killing them on the spot and fled," station house officer Mehr Riaz told PTI.
He said a murder case has been registered against Hussain on the complaint of their father Atta Muhammad.
The incident has taken place in Sargana village in Vehari district, 300 kilometres from Lahore.
The police officer further said there had been a clash among the family members over marrying off the girls outside the family's caste.
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He said police are conducting raids to arrest Hussain while they had taken his two brothers into custody for interrogation.
The murders took place in south Punjab where two weeks ago social media star Qandeel Baloch was strangled to death by her brother for "disgracing" her family.
Last week a British Pakistani woman, Samia, 28, was also allegedly killed by her parents for marrying a man of her choice in Jehlum district of Punjab.