Abstract: Dhaka Stock Exchange and Chittagong Stock Exchange have experienced a massive crash in recent time. Regulated authorities of both stock exchanges are trying to reform the market. They are taking various kinds of initiatives to make the market attractive. This study is conducted to measure the efficiency level of Dhaka Stock Exchange and Chittagong Stock Exchange. Market efficiency is used to explain the relationship between information and share price of capital market. In this research it is tried to find out is there relation between the past information and the share price that means are the prices follow random walk or not. Distance of securities is calculated for Dhaka Stock Exchange and Chittagong Stock Exchange to make assumption are stock exchanges belong to strong form of efficiency or not and to conclude which stock exchange is more efficient.