对于有效市场假说的检验而言,股票市场收益的长记忆性有着特别重要的意义。通常使用的长记忆性研究方法有经典R/S分析、修正R/S分析与对数周期图法等。本文根据实际情况,使用了修正R/S分析和V/S分析方法,有效的分析和研究了世界上31个国家的股票市场收益的长记忆性。通过分析研究的结果可以得出:对于大多数发达国家而言,其股市很少存在长记忆性,,而印度等发展中国家,存在比较明显显的长记忆性,尤其对于中国股市而言,其长记忆性很强。由此可知,V/S分析比修正R/S分析更加稳健有效。 The long memory of stock market returns is of particular importance for the testing of efficient market hypotheses. Commonly used long memory research methods are classic R / S analysis, modified R / S analysis and logarithmic periodogram method. Based on the actual situation, this paper uses the revised R / S analysis and V / S analysis method to effectively analyze and study the long memory of stock market returns in 31 countries in the world. Through the analysis of the results we can draw: For most developed countries, the stock market seldom long memory, and India and other developing countries, there is more obvious long memory, especially for the Chinese stock market, Its long memory is very strong. This shows that V / S analysis is more robust and effective than the modified R / S analysis.