This study examines the weak form efficient market hypothesis (EMH) of climate change indexes, examining whether past information is fully integrated into current climate prices. Using eight MSCI climate change indexes from January 2014 to April 2024, the study employs unit root tests and variance ratio tests to analyze random walk behavior. The results indicate that past information is not fully incorporated, suggesting that climate change index returns are not weak form efficient and do not adhere to a random walk pattern. The findings have significant consequences for investors, portfolio managers, and financial analysts, as they open the markets to potential arbitrage gains by exploiting inefficiencies. Policymakers might discover from the rejection of weak form efficiency the regulatory adjustments needed to boost overall market efficiency and promote savings and investment.