This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical methods described in literature. Results demonstrate the possibility of predicting monthly returns in developed markets. Effective international diversification is possible as long-term co-movements among markets are not observed. However, co-movements are observed in monthly returns of U.S.A, Japan and U.K. thus, enabling an investor to predict monthly returns in these markets. Overall results show that prediction of asset returns in emerging markets is intricate in comparison to developed markets.