Long memory in stock returns: some international evidence

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Some stylized facts of the Bitcoin market (2017, background): “Henry [34] concludes that there is strong evidence of long-range memory in the Korean market and some weak evidence on the German, Japanese and Taiwanese markets, after analyzing monthly returns of nine stock markets.”
Do socially (ir)responsible investments pay? New evidence from international ESG data (2016, methodology): “Finally, statistical inference for the obtained alpha estimates is usually conducted using standard procedures that are based on asymptotic normality, even though, the normality-condition is not fulfilled in typical empirical sample sizes (see Henry, 2002; Poon & Taylor, 1992).”
Do emerging markets become more efficient as they develop? Long memory persistence in equity indices (2014, background): “Henry (2002) suggests that long memory persistence in equity returns would imply that stock returns are forecastable.”