Research on Long Memory in International Stock Returns and Its Volatility

Long memory effect in stock market is a hot topic in financial research,and it is important to the analysis of market efficiency and structure of nonlinear system.This paper studies the long memory in daily and weekly stock index returns and volatility of 28 countries and regions with modified R/S and V/S analysis methods.Results show that in stock returns long memory doesn't exist in most developed countries such as America and that it exists in developing countries such as China.In particular,long memory in China stock market is the strongest.In stock volatility,all countries and regions show long memory,and are stronger than stock returns.