This purpose of this research is to investigate market efficiency that constitutes in Asian emerging economies during COVID-19, via the incorporation of data of daily stock indices returns ranging from 2019 to 2021. Augmented Dickey-fuller, Phillip Perron tests of unit root, auto-correlation function, and runs tests were employed. The results showed that weak-form efficiency was observed in PSEI, SSEI, TAIEX, and KOSPI as the investors could not gain abnormal returns from the historical trend of share prices. SENSEX, JAKARTA, SET, KLSE, and KSE testified against weak-form efficiency permitting financial investors to gain unusually. The originality of this research lies in the target population i.e. emerging economies of Asia listed on the MSCI index. The results have implications for investors stock market analysts, regulators, and governments to improve information flow so to achieve market efficiency.