||The topic of this bachelor thesis is the Theory of efficient markets. The thesis is split into two related parts. The first part aims to introduce the Theory of efficient markets and behavioral finance. It focuses on several anomalies and limitations in the Theory of efficient markets that have been found as a result of behavioral finance research. The second part of the thesis is an empirical text dedicated to the relative weak form efficiency analysis of the two Central and Eastern Europe Markets – the Prague and the Warsaw Stock Exchange. Relative efficiency is tested by the random walk properties of market index returns and by the OLS method for autoregressive process for market index returns. It has been found that the Warsaw Stock Exchange is relatively more efficient in the weak form efficiency than the Prague Stock Exchange.