The purpose of this study is to test impact of illusion of control on perceived market efficiency. On the basis of literature review, questionnaire was developed. The study is carried out on sample of convenience of investors, financial analyst and finance scholars of Islamabad/ Rawalpindi. Questionnaire comprises of 15 items related to three forms of market efficiency and particular bias
(illusion of control). The findings of the regression show significant results. This means that illusion of control has impact on perceived efficiency of Pakistani financial market. This study focuses on only individual located in Islamabad/Rawalpindi, and the sample size is also small due to time constraints. Further research can be done on a bigger scale to get the more general conclusions. This study will help investors to identify their biases and then formulate different strategies to reduce their irrational behavior.
Keywords: Illusion of control, market efficiency