Perhaps no other area of finance has been subjected to so much empirical Investigation during the last three decades as the behavior of stock prices. Stock market efficiency has now become a paradigm in the finance literature for explaining share price behavior. One of the dominant themes in the academic literature since the 1960's has been the concept of efficient capital markets which means that security prices reflect all available information. Generally, market efficiency has two dimensions, one is the set of information to be reflected in prices and secondly is the speed of adjustment of prices to new information. The efficient market the oretists, believe that the process of adjustment of stock. prices to new information is very quick. The efficient market hypothesis has historically been sub divided into; three categories, each dealing with a different type information. Weak-form explains whether all information contained in the historical prices is fully reflected in the current prices or not while in the semi-strong form of efficiency, the security prices reflect all publicly available information like dividend announcement, earning announcement, stock splits, issue of bonus shares and right shares, buy-back of shares, etc.. Infact, such publicly available information is already impounded in the current security prices. The third and the final stage of the capital market is strong-from of efficiency. In this form the security, prices reflect all published and unpublished public information. This is a significant strong assertion, and empirical studies have not borne out the strongly efficient market hypothesis. People with private or inside information have been able to outperform the market. Thus, three forms of efficient market hypothesis, therefore, tends to describe different stages of market efficiency. This classification was originally suggested by Fama (1973). After the discussion of three forms of efficient market hypothesis, we have mainly emphasized on semi strong form of the market.