Although the Palestine Exchange (PEX) is an emerging market, it proved its excellence to many of the financial markets in the Middle East. Because of the importance of the market efficiency, it is necessary to be tested in order to be sure of equivalent chances. In this research, the Researcher tested the efficiency by using the daily prices at the period from January 1^st, 2007 to December 31^st, 2010. The research aims to test the efficiency of (PEX) to make sure that all investors have the same chances in profit taking, and to research the stationary and random walk of PEX Indices. It covered the daily prices of general index in addition to Al-Quds index, also to increase the accuracy of the results, the Researcher tested efficiency of the main sectors Indices of (PEX) is (industry, banking, insurance, services, and investment). The Researcher through statistical measures; Agument Dickey fuller (ADF), the Phillips Perron (PP), and the Kwiatkoowski-Phillips-Schmidt-Shin (KPSS) proved the inefficiency of the (PEX) in the weak level, which means the possibility of taking advantage of technical analysis to be able to predict future prices by extrapolating the past prices.