The study looked at stock market data from the Stockholm Stock Exchange between 1980-1995. They found that daily Swedish stock index returns show consistent positive autocorrelation. More liquid stocks have stronger positive autocorrelation, while less liquid stocks show weaker or negative autocorrelation. Autocorrelation is higher after days of above-average market performance and lower after below-average days. Fridays tend to have the strongest autocorrelation in both index and individual stock returns. The researchers tested the transaction cost hypothesis using a transaction tax, which affected stock price precision but not return autocorrelation. The study concludes that profit-taking and nonsynchronous trading likely cause short-term autocorrelation, while time-varying expected returns explain longer-term autocorrelation.