autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate … induces negative return autocorrelation in stock markets. We find empirical evidence that the hedging demand of option issuers … has a positive impact on return autocorrelation, while the opposite holds for certificate issuers, whose hedging demand …

-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no …