This study examined the weak-form efficiency hypothesis (EMH) in the Mongolian Stock Exchange (MSE), a frontier market. The hypothesis is tested employing empirical tests of time-series on the MSE. Historical index values and 8 individual companies' prices on a weekly basis for a period of 6 years and 4 months (2007.01.01-2013.04.24) were used for analysis. The data is unique and is not available on public web-sites or on-sites. The study applied four statistical tests including the Kolmogorov-Smirnov Goodness of Fit test, the Autocorrelation test, the Wald-Wolfowitz runs test and the Lo and Mackinlay (1988) variance ratios' test. Findings suggest that the Mongolian Stock Exchange does not follow the random walk hypothesis, and therefore rejects the weak-form of market efficiency in the MSE. The results are consistent with observations in different sub-samples in the market index and for individual securities (except for UID). To my knowledge this is one of the first attempts to test the weak-form efficiency on Mongolian market, hence evidence on market efficiency of the MSE is being contributing to literature in this field.