The efficient market hypothesis is highly controversial and often its validity is disputed. So, this research aims to explore the legitimacy of the efficient market hypothesis in nine emerging markets. The research is conducted on daily returns from nine major emerging markets indices from 2015 to 2020. This study tests the weak-form efficiency by employing both parametric and non-parametric statistical techniques. The results of these tests show that stock markets in the tested emerging markets do not follow a random walk, hence are not weakly efficient. However, the results also reveal that Turkey, Thailand, Indonesia, Brazil and India are moving towards attaining weak-form efficiency in comparison with Mexico, Saudi Arabia, Egypt and Pakistan, who lag behind. Overall, the outcomes of this research show that the tested markets are not efficient, hence, investors may take advantage of these markets in generating tremendous profits. But they also show that there are variations of efficiency and that some of these markets are closer to being efficient and less predictable than others. This research may be of interest to market regulators in conducting financial reforms to reduce corruption and information asymmetries in an attempt to becoming more efficient.