This study adds to the menu of studies investigating the financial market efficiency, by applying a multifractal detrended fluctuation analysis (MF-DFA) to the Dow Jones sector Exchange-Traded Fund (ETF) indices. The advantages of this approach consist in taking into consideration a global detection of multifractal behaviour for measuring the long-range dependence in ETF prices. Indices investment such ETF, became popular with the emergence of the efficient market hypothesis (EMH) and supposes that stock picking has no merit in terms of returns. Nevertheless, several questions remained without answer. Is the ETF market realy efficient? Are there any differences between the sector ETF indices in terms of efficiency? How the efficiency of ETF market is affected by crisis events? Although during the 1950s, the common belief was that financial markets are inefficient, the concept of EMH was formulated in the 1960s by Fama [1,2] and refined in the 1970s [3]. The weak form of EMH, which assumes that stock prices already reflect all past publicly available information, claims that the current stock price is the best predictor of future price.1 The semi-strong form of EMH claims, in addition, that prices instantly reflect all new publicly available information. The evidence in favour of this hypothesis is largely brought by Firth [5]. Further, the strong form of EMH considers the hidden information included in the market prices. Practically, in an efficient market, under the joint assumptions of risk neutrality and rationality, the expected returns of speculators are zero.