This study examines the mechanism by which self-attribution bias and overconfidence bias influences perceived market efficiency. For this purpose we use questionnaire and collect data from 200 investors of Islamabad Stock Exchange (ISE). Most studies focus on well-developed financial markets and very little is known about investor’s behavior in less developed financial markets or emerging markets. The present study contributes to filling this gap in the literature. The findings suggest that self-attribution bias and overconfidence bias have significant negative impacts on perceived market efficiency.