Recently studies published have shown the presence of long-term predictability in stock returns. As fractionally integrated time series models [Granger and Joyeux (1980) and Hosking (1981)] exhibit dependence even over very long time spans, it is possible that returns follow the same kind of processes. The results obtained, although presented with certain reservations, do not allow us to confirm, in general terms, that the returns series of the Spanish stock market are fractionally integrated.

Keywords: GPH Test, long term dependence, fractional differencing, stock market.