 During the past three decades, there have been many researches done in order to analyze whether our capital markets are efficient. And interestingly, the results of all of these studies have real-world practical implications for both the investors and the portfolio managers. Now, why efficient capital market is important to consider? It is important to consider because of two reasons. The first is that because it is necessary to consider the efficiency of capital markets in terms of how security prices react to the infusion of the new information into the market. And the second reason is that the overall evidence on the capital market efficiency can be best described as the mixed, which means that some of the studies support the hypothesis and some of the studies do not. Now, what is an efficient capital market? There is a certain criteria. That is, a large number of profit maximizing participants are there. The security prices being reflective of all publicly available information include risk attached to any particular security. Three, investors buying at the informationally efficient prices get returns inconsistent with the attached risk of a particular security. So, in terms of KPM, we can say that all of the securities lie on the SML in an efficient capital market. This means that price changes are to be random and independent in the efficient capital market. Now, why a capital market needs to be efficient? Profit maximizing participants analyze and value securities independently of each of themselves. Then, new information regarding securities come to the market in the random order or the random fashion. The buy and sell decisions of all of the profit maximizing participants cause security prices to rapidly adjust to the newly released market information. Then the expected return implicit in the current prices of the securities is linked with the attached riskiness of the particular security. So, what is efficient market hypothesis? In fact, early work on the efficient capital market was based on the random walk phenomena, which says that changes in stock prices occur randomly. But in 1970, it was the farmer who first organized the efficient market theory in terms of a fair game model and he devised the efficient market theory particularly. He says that a securities current market prices being reflective of all publicly available information can yield a return inconsistent with the attached riskiness of the particular security. Farmer divides the efficient market hypothesis into three sub-hypothesis namely weak form efficient market hypothesis, strong form efficient market hypothesis and strong form efficient market hypothesis. It is important to note that these three sub-hypothesis are based on the alternative sets of information means that each of these three efficient market hypothesis has different effect on the security prices of different sets of information. Now, let's talk about these efficient market hypothesis. The first is the weak form efficient market hypothesis. This phenomenon says that prices reflect all security market information. Means that current security prices fully reflect the market information including the historical sequence of the data related to the security prices in the past, rates of return, trading volume data and other market information. This phenomenon assumes that there is no relationship between past return and historical data with the future returns. But it is assumed that one can gain a little abnormal return using the trading rules which indicate that buying and selling of a security which is based on the past return and the other security market data. So, in weak form efficient market hypothesis, we can assume the existence of the chances to earn abnormal profit using the market data which is available in the securities market. Semi-strong efficient market hypothesis. This is that prices reflect all public information. Which means that security prices in addition to the information under weak form efficient market hypothesis also reflect other information regarding the non-market factors like earnings and dividend announcements, price earning ratio, dividend payouts, stock supplies, economic and other political news. This phenomena says that any newly released public information cannot be used in order to earn any abnormal profit considering the cost of the transaction. Because the market quickly responds to the newly released public information. So, here the chances to earn abnormal profits are much lesser than the chances to earn abnormal profit under weak form efficient market hypothesis. And the last efficient market hypothesis is the strong form market efficient hypothesis which says that security prices fully reflect all public and private information. This means that this efficient market hypothesis covers both the weak form efficient market hypothesis and the strong form market efficient hypothesis. It assumes that capital markets are fully efficient which means that the prices adjust rapidly to the newly released information in the market. It assured market to be a perfect capital market in which all the information is cost free and it is available to every person at all the time. This means that under strong form market efficient market efficient phenomena there are no chances for any monopolistic group to earn any abnormal profit.