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. 2022 Jan 11;60:101613. doi: 10.1016/j.ribaf.2022.101613

Table 4.

The effect of economic policy announcements on volatility.

Const. RVD RVW RVM Actt+1 Actt Actt−1 R2
Panel A: Europe
BE-BFX 0.932d 0.481d 0.451d −0.100a −0.005 0.015 0.029c 0.788
CH-SSMI 0.505b 0.441d 0.609d −0.134b −0.058d −0.004 −0.017 0.775
DE-GDAXI 0.688c 0.529d 0.470d −0.124b −0.012 0.033c −0.004 0.808
DK-OMXC20 1.220d 0.482d 0.475d −0.187c 0.027b −0.006 0.020 0.740
ES-IBEX 0.757c 0.453d 0.525d −0.107 0.007 0.008 −0.001 0.790
EU-STOXX50E 0.979c 0.499d 0.424d −0.098 −0.008 0.052c −0.011 0.765
FI-OMXHPI 1.024d 0.525d 0.398d −0.120a 0.009 0.011 0.018 0.748
FR-FCHI 0.810c 0.466d 0.506d −0.117a −0.023 0.030 0.019 0.786
GB-FTSE 0.944c 0.356d 0.558d −0.075 −0.032 0.040b 0.019 0.668
IT-FTMIB 0.943d 0.492d 0.445d −0.118b 0.014 0.041c −0.010 0.802
NL-AEX 0.903d 0.456d 0.516d −0.140b −0.011 0.024a 0.022a 0.782
NO-OSEAX 1.035c 0.328d 0.579d −0.089 −0.034 0.011 0.052a 0.626
SE-OMXSPI 0.867d 0.552d 0.403d −0.125b 0.021 0.011 −0.005 0.788
Panel B: America
BR-BVSP 0.696 0.515d 0.431d −0.067 −0.017 0.032 0.000 0.764
CA-GSPTSE 0.335b 0.514d 0.526d −0.100 0.004 −0.006 −0.030 0.814
MX-MXX 0.724a 0.266c 0.506d 0.095 −0.003 0.015 −0.016 0.496
US-DJI 0.502b 0.532d 0.461d −0.073 0.004 0.047d −0.065d 0.807
US-IXIC 0.353 0.622d 0.285c 0.050 −0.021 0.056d −0.074d 0.753
US-RUT 0.474a 0.620d 0.332d −0.032 −0.002 0.058d −0.057d 0.812
US-SPX 0.346 0.592d 0.388d −0.030 −0.016 0.072d −0.080d 0.812
Panel C: Asia and Australia
CN-SSEC 0.881c 0.562d 0.347c −0.090 −0.014 0.055c −0.014 0.635
HK-HSI 1.117d 0.406d 0.432d −0.046 0.016 −0.011 −0.010 0.522
IN-BSESN 1.132d 0.447d 0.429d −0.090 0.067c 0.000 0.009 0.791
IN-NSEI 1.211d 0.523d 0.338c −0.095 0.044b 0.028 0.018 0.803
JP-N225 0.909d 0.321d 0.617d −0.128a 0.080c 0.056b 0.011 0.741
KR-KS11 1.100d 0.386d 0.544d −0.140 −0.002 0.045d −0.002 0.704
SG-STI 0.485b 0.284d 0.752d −0.129b −0.018 0.035a −0.045b 0.752
AU-AORD 0.677a 0.316c 0.641d −0.081 0.042b 0.019 −0.037a 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. RVD is realized volatility from the previous day, RVW and RVM is the average realized volatility from the previous week (5 days) and month (2 days) respectively. Actt+1, Actt, Actt−1 are dummy variables multiplied by (RVtD). It represents action that were performed after, during, or before each day, respectively. R2 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.