The goal of the research was to test if the FTSE Bursa Malaysia KLCI Stock Index is efficient in reflecting all relevant information, as per the Weak Form of the Efficient Market Hypothesis. The researchers analyzed daily, weekly, and monthly stock prices from 2012 to 2016 to see if the index follows the Random Walk hypothesis. The statistical tests used included Descriptive Statistic, Augmented Dickey Fuller Unit Root Test, Philips-Perron Unit Root Test, Autocorrelation Test, and Runs Test.