1 Behavior of Crude oil Prices of WTRG Countries is Random or Non- Random D.A.I Dayaratne Senior Lecturer Department of Accountancy & Finance Sabaragamuwa University of Sri Lanka Belihuloya. 1 T.U.I Peiris Lecturer Department of Accountancy & Finance Sabaragamuwa University of Sri Lanka Belihuloya. 2 Abstract This paper attempts to investigate the Efficient Market Hypothesis (EMH) in crude oil prices for the period from 1990 to 2011. The EMH generally assumes that the subsequent behaviors of the prices are not independent. This study tests the existence of weak form efficient feature of the crude oil prices of WTRG (West Texas Research Group) countries. For the purpose of investigating the serial dependence/independence, several specification tests are applied. Initially, frequency distribution is plotted on the monthly first difference of the series to test the normality of the series along with summary statistics, kurtosis and skewness. These tests revealed that the series is not normal. To confirm this behavior non-parametric Kolmogorov Simrnov (KS) is applied. To investigate the randomness the autocorrelation test and Runs Test is applied. The results of the autocorrelation function and runs test revealed that the crude oil price series is random. Key words: Autocorrelation, Runs Test, oil prices, Efficient Market Hypothesis 1 Introduction The global oil prices are considered as the major determinant of economic and fundamental variables of countries. Determining behavior of the prices will be significantly important for several stakeholders in several ways such as business community and the national policy makers. Generally crude oil prices driven by both market fundamentals and the OPEC cartel. Market fundamentals suggest that price is determined by demand and supply mechanism in the crude oil market. Although the studies on determents of oil prices are extensively 1 indunil@sab.ac.lk. 2 ushan@sab.ac.lk