In recent years, especially in the aftermath of the global financial meltdown, the performance of emerging and developed capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown by emerging markets provides the impetus to examine the efficient market hypothesis in these markets. It is with this backdrop, this paper is an attempt to test the weak form efficiency of select emerging and developed capital markets (India, China, Brazil, South Korea, Russia, Germany, US and UK) over the sample period spanning from January 2007 to December 2010. The application of unit root test and GARCH (1, 1) model estimation provides the evidence that these markets are not weak form efficient which has both positive and negative implications. On the one hand, such inefficiency disturbs the allocation of national resources for development projects, and on the other hand, provides incentives for creation of innovative financial products thereby making the markets move towards efficiency in the long run.