Financial liberalization process and its implications on financial emerging markets have been multidisciplinary research since 1970. Reform of financial liberalization is a complex and long phenomena. This implies that the impact of this reform on financial markets should not be immediate, but rather gradually during a long time period. It is also important to note that liberalization does not occur in the same way on all financial markets. Each country, according to his specification regarding the economic climate and the specificity of financial markets, has differently set its progress of liberalization process. It is generally accepted that the process of financial liberalization is not composed of a single event, but a series of events. The idea is that market reform is a gradual process where the data identified above only refers to the most significant events. Regarding the effect of liberalization reform on emerging markets has been shown; on the one hand, that liberalization helps to reduce the cost of capital, helps to integrate the emerging markets in the global market, enhances economic growth and allows emerging markets to become more mature. On the other hand, financial liberalization process has a very ambiguous and inconclusive impact on informational efficiency and volatility in emerging markets. Launching liberalization reforms provided an analytical framework for studies that attempt to investigate the effectiveness of emerging markets and empirical links between liberalization and efficiency. The first reason is that with liberalization, the authors believe that emerging markets have become more speculative and more competitive. So there is a chance to see if the weak form market efficiency is verified. The second reason is that the authors explore the relationship between liberalization and efficiency. Researchers and regulators seek an answer to the fundamental question: financial liberalization helps the stock market become more efficient? Financial liberalization is not a riskless process.