The majority of efficient market research has focused on the major US and European securities market. Very few research studies have investigated the markets of developing and less-developed countries. In this study, the existence of weak-form efficiency of Asian emerging stock markets is analyzed. The sample includes the daily price indices namely China (SSEC), Indonesia (JKSE), Kuala Lumpur (KLSE), Korea (KS11), Taiwan (TWII) and India (Nifty) for the period of April 1, 1998 to March 31, 2009. The hypothesis of the study is whether the Asian emerging stock market is weak-form efficient. The results of Kolmogrov-Smirnov normality test and run test, autocorrelation test and Ljung-Box (LB) test provide evidence that the share return series do not follow random walk model and the significant autocorrelation coefficient at different lags reject the null hypothesis of weak-form efficiency. But the unit root hypothesis provides sufficient evidence that stock prices of Asian emerging markets follow random walk process. On the basis of the unit root test (non-stationarity) it can be concluded that the Asian emerging markets are weak-form efficient. This research enables the security analysts, investors and security exchange regulatory bodies to make policy decisions and to improve the market condition.

The increasing importance of stock markets, especially in emerging markets, is one of the most striking features of international financial development over the past two decades. The understanding of efficiency of the emerging markets is becoming more important as a consequence of integration with more developed markets and free movement of investments across national boundaries. Traditionally, more developed Western equity markets are considered to be more efficient. The role of equity markets in developing countries is less, and this resulted in weak markets with restrictions and controls (Gupta, 2006). In the last two decades, a large number of countries have initiated reform process to open up their economies. These are broadly considered emerging economies. Emerging markets have attracted many foreign institutional investors because of their portfolio diversification benefits. There are many participants in the security markets to buy and sell under- and over-valued securities. In the efficient market, there will be more number of participants and the information will be disseminated very swiftly. If the investors wish to diversify their portfolios in other countries, the concept of market efficiency is very important. In this globalized market, understanding the efficiency of the emerging markets is very important.

The term efficiency is used to describe a market in which relevant information is impounded into the price of financial instruments. "An `efficient' market is defined as a market where there are large numbers of rational, profit maximizers actively competing with each other trying to predict future market values of individual securities, and where important, current information is almost freely available to all participants. The Efficient Market Hypothesis (EMH) is related to the random walk theory. The idea that asset prices may follow a random walk pattern was introduced by Bachelier in 1900 (Poshakwale, 1996). The random walk hypothesis is used to explain the successive price changes which are independent of each other. In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value" (Fama, 1965). Financial scholars and practitioners are very much involved in Informational Efficiency of financial markets. Fama (1970) has been the first to develop the efficient markets hypothesis. Fama (1991) classifies market efficiency into three formsweak, semi-strong and strong.

Public Finance journal, Weak-Form Market, European Securities Market, Asian Emerging Markets, Western Equity Markets, Portfolio Diversification, Efficient Market Hypothesis, Financial Markets, Australian Market, Random Walk Hypothesis, Policy Decisions, Daily Market Returns.