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The aim of this paper is to analyse the weak-form efficiency of the French stock market, by examining whether past returns make it possible to determine future returns, taking the period from January 1999 to December 2000. We therefore concentrate on using intra-day data for an empirical examination of whether the returns on stocks in the CAC40 and MIDCAC are auto-correlated. Three tests are applied: the Box-Pierce and heteroscedasticity-adjusted Box-Pierce test, the runs test and the variance-ratio test. Our results show that it is impossible to predict future returns from past returns, which is consistent with the weak-form market efficiency hypothesis.