关键词: 长记忆性, 修正R/S分析, V/S分析, 有效市场假说

Abstract: It is of great significance for the study of long memory in stock market returns to test the effident market hypothesis.The methods in common use to study long memory are classical R/S analysis, modified R/S analysis and log-periodogram.In 2003, Giraitis proposed a new more robust V/S analysis method.In this paper, long memory of stock indices of the 31 countries or regions in the world is studied with the modified R/S and V/S analysis methods.The results show that long memory doesn't exist in most developed countries such as America and it exists in developing countries such as China.In particular, long memory in China stock market is the strongest.But there are exceptions, some European countries such as Germany show long memory while some South American countries such as Brazil do not show long memory.Furthermore, the V/S analysis is more robust and efficient than the modified R/S analysis.

Key words: long memory, modified R/S analysis, V/S analysis, efficient market hypothesis