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In this paper we test for long-range dependence and efficiency in stock indices for 11 emerging markets and also for the US and Japan. We employ a “rolling sample” approach and calculate median Hurst exponents, R/S and modified R/S statistics in order to assess relative efficiency of these equity markets. Our results suggest that Asian equity markets show greater inefficiency than those of Latin America (with the exception of Chile), and that developed markets rank first in terms of efficiency.