The EMH (Efficient Market Hypotheses) is one of the most incessant and respected theories in finance, yet it still comes under heavy criticism. The EMH has been based on an earlier theory that the market prices follow a random walk, hence they are unpredictable. For the purpose of the research, banking industry is considered. Axis Bank, HDFC Bank, ICICI Bank, IDBI Bank and Oriental Bank of commerce are taken for the study. The research revealed that past prices of the stocks follow random walk. The investors are advised to analyze company’s balance sheet, corporate announcements on stock split, dividends, bonus issue and other financial factors before investing into a company.