KARACHI, Pakistan - Pakistan will set up a judicial commission to investigate the killing of a well-known Pakistani journalist in a police shooting in Kenya, Prime Minister Shehbaz Sharif said on Tuesday.

Arshad Sharif was shot dead in Nairobi on Sunday when police opened fire on the vehicle he was travelling in as it drove through their roadblock without stopping, according to a Kenyan police report. The shooting sparked outrage in Pakistan.

"I have decided that we will form a high-level judicial commission to investigate the matter, and will put in a request for an Islamabad High Court judge for this," Prime Minister Sharif said in a video message.

He said he would ensure a transparent investigation. It was not immediately clear what the terms of reference or jurisdiction of the commission would be given the death occurred overseas.

Questions over the killing of journalist Sharif have risen in Pakistan as he had recently fled the country citing threats to his life after working for many years as a prime-time television news show host.

It was not immediately clear when he arrived in Kenya or why he was there.

A Kenyan police watchdog said it was investigating the incident. Pakistan's prime minister said Kenyan President William Ruto had assured him over the phone that the incident would be investigated fully.

Former Pakistani Prime Minister Imran Khan on Tuesday said the incident was a "target killing" but did not offer any evidence to support the claim.

A Reuters call to Kenya police spokesman, Bruno Shioso, went unanswered.

The Kenya Union of Journalists (KUJ) has also cast doubt over the police's version of events.

"From the police record there is more than meets the eye in the death of Mr Sharif and we demand thorough investigations to unravel the motive of the shooting," KUJ said in a statement.

(Additional reporting by Humphrey Malalo and Duncan Miriri in Nairobi; Editing by Nick Macfie)