This paper examines market efficiency of industry index on the Korean stock market and uses daily data over the period 2000-2017. Because global financial environment has been changed after the insolvency of US investment banks in 2008, this study covers two sub-periods, the periods before and after global financial crisis. Uuit root test and run test are employed to analyze random walk in industry index. Results show that random walk is found in most industry index for both sub-periods when unit root rest is employed. However, random walk is not found in most industry index for the first sub-period, while random walk is found in most industry index for the second sub-period, when run rest is employed. Results from run test explain that market is not efficient for the first sub-period and becomes efficient for the second period in the Korean stock market. This study supports that market efficency is derived from appropriate economic system control by government in the Korean stock market. This study also shows that increase of market efficiency in US and European stock market after global financial crisis affects the results of this paper.