Market efficiency has influence on the investment strategy of investors because if a market is efficient no one can benefit from information advantage as there is no consistently under performing securities while they deserve higher prices. On the other hand, if a market is inefficient there is always chances for some to benefit from asymmetry of information to pickup the winners. In this paper two statistical tests have been conducted to test the efficiency performance of Khartoum Stock Exchange (KSE) market. Our finding indicate that the inefficiency hypothesis cannot be rejected.