This research examines the efficiency of Vietnam stock market at weak form level by using daily and weekly observations of market index and eight selected stocks of real estate and seafood processing companies for the period from 2007 to 2010. Parametric and nonparametric tests including auto correlation test, run test, variance ratio test, regression test, ARCH, GARCH (1,1) have been employed in this study. The results from all tests fail to support the hypothesis of weak form efficiency with the daily data, even in case, returns are adjusted for thin trading. However, with weekly data, the results obtained from run test and autocorrelation test do not completely reject the hypothesis of weak form efficiency while the result given from variance ratio test fully provides the evidence against a random walk. Besides that, the findings of no clear calendar effect by examining the day of week effect also give the evidence that even if the anomalies existed in the sample period, the practitioners who implement strategies to take advantage of anomalous behavior can cause the anomalies to disappear.