The purpose of this research is an empirical investigation of types of market efficiency in Asian emerging economies during COVID-19. The prominent indices have been worked upon for each country. The study undertakes the daily stock indices returns to assess market efficiency in every emerging country for COVID-19 period (i.e., 2019-2021). For testing forms of market efficiency Augmented Dickey-fuller, Phillip Perron tests of Unit root, auto-correlation function and runs test are employed. The research provides the mixed results for each country indices. PSEI, SSEI, TAIEX and KOSPI are weak form market efficient as per autocorrelation and runs tests claiming that investors are unable to gain abnormal returns from previous share prices trends due to random behavior of price in COVID-19. Whereas, remaining indices SENSEX, JAKARTA, SET, KLSE and KSE are rejecting WFM efficiency permitting financial investors to gain unusually. The uniqueness in this paper comes from the factor that it is incorporating the emerging economies of Asia as being listed on MSCI index to test efficiency during the COVID-19. This idea of market efficiency is important for investors for their respective investment decisions, for analyst of stock markets, stock markets’ regulators and governments for improvement of flow of information to achieve the set benchmark of market efficiency for further development and growth.