The Universidad de La Sabana informs that users, both internal and external, are authorized to access the content of this document through the online catalog of the library and the institutional repository on the library's website, as well as through the country and international information networks with which the university has agreements. The document can be consulted for academic purposes, but not for commercial use, and must be cited appropriately. According to Article 30 of Law 23 of 1982 and Article 11 of Decision Andina 351 of 1993, the rights of the documents belong to the authors and include moral rights. This paper aims to verify if the Mercado Integrado Latinoamericano (MILA) has generated changes in the weak-form efficiency in the Colombian financial market using a variance ratio test. First, the stationarity of the series is evaluated using the Augmented Dickey-Fuller and KPSS unit root tests. Second, the random walk of the five main shares of COLCAP, which have remained in the index during the period analyzed (2008-2014), is tested. For the Pre-MILA period, only the Preferential Bancolombia stock did not follow a random walk, while for the Post-MILA period, the Grupo Argos, ISA, and Preferential Bancolombia shares did not follow a random walk. The conclusion is that although MILA is a new integration project with limited development, it may have had a negative influence on the weak-form efficiency of the Colombian financial market. The study finds that the Colombian financial market is not efficient in its weak form, as the tested stocks do not follow a random walk. The results indicate that after the implementation of MILA, the market became less efficient, with only two of the five stocks following a random walk. The study concludes that MILA has not achieved the expected efficiency in the Colombian financial market, but factors such as the short time since its implementation and challenges in its development may explain the inefficiency.The Universidad de La Sabana informs that users, both internal and external, are authorized to access the content of this document through the online catalog of the library and the institutional repository on the library's website, as well as through the country and international information networks with which the university has agreements. The document can be consulted for academic purposes, but not for commercial use, and must be cited appropriately. According to Article 30 of Law 23 of 1982 and Article 11 of Decision Andina 351 of 1993, the rights of the documents belong to the authors and include moral rights. This paper aims to verify if the Mercado Integrado Latinoamericano (MILA) has generated changes in the weak-form efficiency in the Colombian financial market using a variance ratio test. First, the stationarity of the series is evaluated using the Augmented Dickey-Fuller and KPSS unit root tests. Second, the random walk of the five main shares of COLCAP, which have remained in the index during the period analyzed (2008-2014), is tested. For the Pre-MILA period, only the Preferential Bancolombia stock did not follow a random walk, while for the Post-MILA period, the Grupo Argos, ISA, and Preferential Bancolombia shares did not follow a random walk. The conclusion is that although MILA is a new integration project with limited development, it may have had a negative influence on the weak-form efficiency of the Colombian financial market. The study finds that the Colombian financial market is not efficient in its weak form, as the tested stocks do not follow a random walk. The results indicate that after the implementation of MILA, the market became less efficient, with only two of the five stocks following a random walk. The study concludes that MILA has not achieved the expected efficiency in the Colombian financial market, but factors such as the short time since its implementation and challenges in its development may explain the inefficiency.