This paper investigates the impact of equity return autocorrelation on financial market efficiency via intervalling effect. A simple model is proposed to show that the degree of intervalling effect is related to the security return autocorrelation. A general version of levy and Levhari hypothesis is proposed to find that the degree of the autocorrelations of the security and the market returns determines the existence and the direction of the intervalling effect and The size of the intervalling effect is dependent on the degree of the security autocorrelations. Empirical eveidence of the latter is presented.