Abstract
This research is based on Efficient Market Hypothesis. Markets are divided into three form based on pricing efficiency and these are weak-form, semi-strong form and strong-form efficiency. The main research question is to investigate weak-form pricing efficiency of “next eleven” countries. We have used historical stock indices returns for ten years period starting from 09/01/2003 to 02/10/2013. Daily full period data is divided into two groups (pre-financial crisis and post-financial crisis). Pre-financial crisis start from January 2003 to March 2008 and Post-financial crisis start from April 2008 to September 2013. Weekly full period returns start from 11/09/2003 to 30/08/2013. The purpose of dividing the sample data into two groups is to check whether financial crisis had any impact on the efficiency of these markets.
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