Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence

The paper examines the long memory in stock returns of emerging markets. Unlike earlier studies, present study carries out a biased reduced semi-parametric test to detect long memory in mean process and uses diverse and updated data set. The test results finds no strong evidence of long memory in mean process of stock returns both in emerging and developed markets. This is in contract with earlier studies, which conclude that emerging markets in general characterized by long memory process. Hence, long memory is not a peculiar characteristic of emerging markets but appear to be stylized fact of asset returns irrespective of stage of development of the market. Short memory models are thus sufficient to forecast the future returns.