Table 4.

The effect of economic policy announcements on volatility.

	Const.	RV${}^D$	RV${}^W$	RV${}^M$	Act${}_{t+1}$	Act${}_t$	Act${}_{t-1}$	$R^2$
Panel A: Europe
BE-BFX	0.932${}^d$	0.481${}^d$	0.451${}^d$	$-$0.100${}^a$	$-$0.005	0.015	0.029${}^c$	0.788
CH-SSMI	0.505${}^b$	0.441${}^d$	0.609${}^d$	$-$0.134${}^b$	$-$0.058${}^d$	$-$0.004	$-$0.017	0.775
DE-GDAXI	0.688${}^c$	0.529${}^d$	0.470${}^d$	$-$0.124${}^b$	$-$0.012	0.033${}^c$	$-$0.004	0.808
DK-OMXC20	1.220${}^d$	0.482${}^d$	0.475${}^d$	$-$0.187${}^c$	0.027${}^b$	$-$0.006	0.020	0.740
ES-IBEX	0.757${}^c$	0.453${}^d$	0.525${}^d$	$-$0.107	0.007	0.008	$-$0.001	0.790
EU-STOXX50E	0.979${}^c$	0.499${}^d$	0.424${}^d$	$-$0.098	$-$0.008	0.052${}^c$	$-$0.011	0.765
FI-OMXHPI	1.024${}^d$	0.525${}^d$	0.398${}^d$	$-$0.120${}^a$	0.009	0.011	0.018	0.748
FR-FCHI	0.810${}^c$	0.466${}^d$	0.506${}^d$	$-$0.117${}^a$	$-$0.023	0.030	0.019	0.786
GB-FTSE	0.944${}^c$	0.356${}^d$	0.558${}^d$	$-$0.075	$-$0.032	0.040${}^b$	0.019	0.668
IT-FTMIB	0.943${}^d$	0.492${}^d$	0.445${}^d$	$-$0.118${}^b$	0.014	0.041${}^c$	$-$0.010	0.802
NL-AEX	0.903${}^d$	0.456${}^d$	0.516${}^d$	$-$0.140${}^b$	$-$0.011	0.024${}^a$	0.022${}^a$	0.782
NO-OSEAX	1.035${}^c$	0.328${}^d$	0.579${}^d$	$-$0.089	$-$0.034	0.011	0.052${}^a$	0.626
SE-OMXSPI	0.867${}^d$	0.552${}^d$	0.403${}^d$	$-$0.125${}^b$	0.021	0.011	$-$0.005	0.788
Panel B: America
BR-BVSP	0.696	0.515${}^d$	0.431${}^d$	$-$0.067	$-$0.017	0.032	0.000	0.764
CA-GSPTSE	0.335${}^b$	0.514${}^d$	0.526${}^d$	$-$0.100	0.004	$-$0.006	$-$0.030	0.814
MX-MXX	0.724${}^a$	0.266${}^c$	0.506${}^d$	0.095	$-$0.003	0.015	$-$0.016	0.496
US-DJI	0.502${}^b$	0.532${}^d$	0.461${}^d$	$-$0.073	0.004	0.047${}^d$	$-$0.065${}^d$	0.807
US-IXIC	0.353	0.622${}^d$	0.285${}^c$	0.050	$-$0.021	0.056${}^d$	$-$0.074${}^d$	0.753
US-RUT	0.474${}^a$	0.620${}^d$	0.332${}^d$	$-$0.032	$-$0.002	0.058${}^d$	$-$0.057${}^d$	0.812
US-SPX	0.346	0.592${}^d$	0.388${}^d$	$-$0.030	$-$0.016	0.072${}^d$	$-$0.080${}^d$	0.812
Panel C: Asia and Australia
CN-SSEC	0.881${}^c$	0.562${}^d$	0.347${}^c$	$-$0.090	$-$0.014	0.055${}^c$	$-$0.014	0.635
HK-HSI	1.117${}^d$	0.406${}^d$	0.432${}^d$	$-$0.046	0.016	$-$0.011	$-$0.010	0.522
IN-BSESN	1.132${}^d$	0.447${}^d$	0.429${}^d$	$-$0.090	0.067${}^c$	0.000	0.009	0.791
IN-NSEI	1.211${}^d$	0.523${}^d$	0.338${}^c$	$-$0.095	0.044${}^b$	0.028	0.018	0.803
JP-N225	0.909${}^d$	0.321${}^d$	0.617${}^d$	$-$0.128${}^a$	0.080${}^c$	0.056${}^b$	0.011	0.741
KR-KS11	1.100${}^d$	0.386${}^d$	0.544${}^d$	$-$0.140	$-$0.002	0.045${}^d$	$-$0.002	0.704
SG-STI	0.485${}^b$	0.284${}^d$	0.752${}^d$	$-$0.129${}^b$	$-$0.018	0.035${}^a$	$-$0.045${}^b$	0.752
AU-AORD	0.677${}^a$	0.316${}^c$	0.641${}^d$	$-$0.081	0.042${}^b$	0.019	$-$0.037${}^a$	0.729

Note: a, b, c, d in superscript denote significance at the 15%, 10%, 5%, and 1%, levels, respectively. The values in bold show all statistically significant coefficients at the 15% level. Const. represents a constant. RV${}^D$ is realized volatility from the previous day, RV${}^W$ and RV${}^M$ is the average realized volatility from the previous week (5 days) and month (2 days) respectively. Act${}_{t+1}$, Act${}_t$, Act${}_{t-1}$ are dummy variables multiplied by (${\mathit{RV}}_t^D$). It represents action that were performed after, during, or before each day, respectively. $R^2$ represents $R$-squared. The models are estimated using ordinary least squares (OLS) and the standard errors are obtained via heteroskedasticity- and autocorrelation-consistent (HAC) estimator (Newey and West, 1994). List of countries and stock indices is presented in Table 1.