Long-term memory of the returns in the Chinese stock indices

The modified R/S statistic (MRS) and the local Whittle method (LWM) are used to analyze the long-range dependence on various indices of the Chinese stock markets. The MRS accepts the null hypothesis of no long-range dependence while the LWM rejects it. We also find that the long-range dependence phenomena presented in these markets depend on the time in which they are measured.Physics, MultidisciplinarySCI(E)中国科学引文数据库(CSCD)1REVIEW4489-494