This article examines the behavior of equity volume and volatility for the individual firms composing the Shanghai 30 index and Shenzhen composite index in long run. Using multivariate frequency domain two- step semiparametric procedures, by tapering the data instead of detrending them, the long memory parameters of nonstationary vector process have been consistent estimated. We find that there is strong long memory in both series, besides, for most of the stocks, the volatility and volume exhibit the same ...