1 Long Memory and Indian Stock Market – An Empirical Evidence

2 This paper makes a serious attempt to explore whether there exists a need to study the use of non-linear models to test the existence of long memory in an emerging market like India. It starts by discussing how various authors are challenging the efficient market hypothesis. This has led to the use of non-linear dynamic systems for modeling movement in stock prices. In order to confirm whether the efficient market hypothesis is applicable to the Indian Stock Market, the study has used the NSE NIFTY returns for the last decade and tested them for normality. Finally, two important tests have been performed using these data: the Variance ratio test and the Rescaled Range (R/S) Analysis to test for persistence in the NIFTY daily returns.