This study provides empirical evidence on weak form efficiency of the stock market in the banking sector after 2001 economic crisis in Turkey over a period of 1990-2007. It has been investigated with structural break test and long memory models. The results obtained ignoring the structural breaks point out that there exist a weak form efficiency in the stock market. Besides, it has been determined structural break effect in all stock prices series. It has been concluded that the stock prices series is mean reverting long memory process after removing the structural break effect. This result indicates that banking sector is not weak form efficient.