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This study uses generalized Hurst exponent (GHE) to investigate the longrange dependence exhibited by the returns series of six Central and Eastern European Stock markets indexes. Considering the fact that thin trading usually induces spurious correlations in emerging stock markets returns we expect to find, to some degree, an overestimation bias concerning the Hurst exponent. As expected, if controlled for this induced effect, the number of indexes exhibiting longrange returns drops significantly. We also found evidence of how the time-varying pattern of the long-range dependence may essentially affect the design of trading strategies.

JEL Classification: C13, G14, G15

Keywords: generalized Hurst exponent, long memory, stock market indexes, thintrading