Stock Returns Memories: a "Stardust" Memory?

This article aims to investigate if stock market index returns present any type of memory. We study the dependence structure of four market indices between 1959 - 2010 and 1970 -2010. We used three different methodologies to obtain Hurst exponent, starting from the basic and old "R/S" approach, continuing with ARFIMA models and ending with the new and innovative wavelet analysis. Our findings are coherent according to the various methods, leading to the conclusion of absence or very short memory dynamics. Those results are in accordance of the weak efficiency financial theory, restraining successful forecasts and arbitrage opportunities