The aim of this study is to investigate the existence of long-memory process in the Indonesia stock market. This study provides two major contributions and one anomaly. First, this is the first study on long-memory conducted on the Indonesia Stock Exchange at individual stocks. Second, this study uses the method of Detrended Fluctuation Analysis (DFA), supplemented by empirical confidence interval introduced by Weron (2002) and Kristoufek (2010). Our analysis uncover an anomaly that three out of thirteen of the most liquid shares in the Indonesia Stock Exchange exhibit mild long memory process in the daily return data. This result, however, is not robust to length of series utilized. All thirteen stocks exhibit long memory process in the absolute daily return which represent risk.

中文翻译：

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在印尼证券交易所的长期记忆

这项研究的目的是调查印尼股票市场中长记忆过程的存在。这项研究提供了两个主要贡献和一个异常。首先，这是在印尼股票交易所针对单个股票进行的长期记忆的第一项研究。其次，本研究使用去趋势波动分析（DFA）方法，并辅以Weron（2002）和Kristoufek（2010）引入的经验置信区间。我们的分析发现了一个异常现象，即印度尼西亚证券交易所中流动性最强的股票中，有十三分之三在日收益数据中表现出温和的长记忆过程。但是，该结果对于所用系列的长度并不稳健。所有十三只股票的绝对每日收益都表现出很长的记忆力，这代表了风险。