TY - JOUR ID - 28869 TI - Long Memory in Stock Returns: A Study of Emerging Markets JO - Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) JA - IJMS LA - en SN - AU - Bhattacharya, Sharad Nath AU - Bhattacharya, Mousumi AD - استادیار دانشکده مدیریت ارتش، بنگال، هند Y1 - 2012 PY - 2012 VL - 5 IS - 2 SP - 67 EP - 88 DO - 10.22059/ijms.2012.28869 N2 - The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns. Hurst-Mandelbrot's Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic were computed as well as modified GPH statistic of Robinson (1995). The findings suggest existence of long memory in volatility as well as in absolute returns and random walk for asset return series in general for all the selected stock market indices. The study did not support existence of Taylor’s effect in the selected emerging markets. UR - https://ijms.ut.ac.ir/article_28869.html L1 - https://ijms.ut.ac.ir/article_28869_c83397712b6abc8b773bece30dacd57f.pdf ER -