Calendar effects, market conditions and the Adaptive Market Hypothesis: evidence from long-run U.S. data

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War and stock markets: The effect of World War Two on the British stock market (2015, background): “Thus the main seasonal effects are examined through a GARCH(1,1) regression such that; 4 For a thorough literature review on seasonal anomalies, see Urquhart and McGroarty (2014).”