Do returns of stock markets of India and China have long memory?

摘要

The paper examines the existence of long memory in stock markets of India and China using ARFIMA models. The data set consists of daily return of the stock indices from January 1, 2009 to June 24, 2014. Long memory tests are carried out in the returns of these series. The results of ARFIMA model suggest the absence of long memory in both the stock markets. The absence of long memory in asset returns supports the weak form market efficiency hypothesis.