This paper aims to verify if the Mercado Integrado Latinoamericano (MILA) has generated changes in the weak-form efficiency of the Colombian financial market. Using a variance ratio test, the study evaluates the stationarity of the series through Augmented Dickey-Fuller and KPSS unit root tests. It also examines the random walk of the five main shares of the COLCAP index, which has been maintained during the analyzed period (2008-2014). 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 findings suggest that despite MILA being a new integration project with limited development by its members, it may have negatively influenced the weak-form efficiency of the Colombian financial market.This paper aims to verify if the Mercado Integrado Latinoamericano (MILA) has generated changes in the weak-form efficiency of the Colombian financial market. Using a variance ratio test, the study evaluates the stationarity of the series through Augmented Dickey-Fuller and KPSS unit root tests. It also examines the random walk of the five main shares of the COLCAP index, which has been maintained during the analyzed period (2008-2014). 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 findings suggest that despite MILA being a new integration project with limited development by its members, it may have negatively influenced the weak-form efficiency of the Colombian financial market.