Table 5.

The effect of fiscal stimulus 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	0.658${}^d$	0.511${}^d$	0.462${}^d$	$-$0.084	$-$0.020	0.015	0.016	0.786
CH-SSMI	0.703${}^c$	0.456${}^d$	0.562${}^d$	$-$0.143${}^a$	$-$0.089${}^d$	0.077${}^c$	0.036${}^a$	0.774
DE-GDAXI	0.506${}^b$	0.542${}^d$	0.481${}^d$	$-$0.108${}^a$	$-$0.025${}^a$	0.024${}^b$	$-$0.014	0.807
DK-OMXC20	0.979${}^d$	0.484${}^d$	0.468${}^d$	$-$0.133${}^c$	$-$0.000	0.022${}^a$	0.020	0.737
ES-IBEX	0.710${}^d$	0.456${}^d$	0.522${}^d$	$-$0.099	0.011	$-$0.002	0.015	0.790
EU-STOXX50E	0.689${}^c$	0.504${}^d$	0.466${}^d$	$-$0.083	$-$0.009	0.0230	$-$0.011	0.759
FI-OMXHPI	0.755${}^d$	0.532${}^d$	0.413${}^d$	$-$0.083	0.013	$-$0.006	0.006	0.746
FR-FCHI	0.673${}^c$	0.461${}^d$	0.522${}^d$	$-$0.099	$-$0.014	0.000	0.036${}^a$	0.785
GB-FTSE	0.853${}^c$	0.336${}^d$	0.590${}^d$	$-$0.070	$-$0.024	0.051${}^b$	0.017	0.667
IT-FTMIB	0.661${}^d$	0.518${}^d$	0.462${}^d$	$-$0.098	$-$0.011	0.033${}^b$	$-$0.006	0.798
NL-AEX	0.757${}^d$	0.459${}^d$	0.514${}^d$	$-$0.110${}^a$	$-$0.006	0.006	0.040${}^b$	0.783
NO-OSEAX	0.782${}^c$	0.326${}^d$	0.598${}^d$	$-$0.053	$-$0.017	$-$0.019	0.030	0.619
SE-OMXSPI	0.653${}^d$	0.558${}^d$	0.422${}^d$	$-$0.103${}^a$	0.005	$-$0.004	0.012	0.785
Panel B: America
BR-BVSP	0.723${}^b$	0.512${}^d$	0.428${}^d$	$-$0.065	$-$0.007	0.014	0.028	0.763
CA-GSPTSE	0.360${}^b$	0.536${}^d$	0.480${}^d$	$-$0.085	$-$0.080${}^d$	0.060${}^c$	$-$0.036${}^c$	0.817
MX-MXX	0.780${}^b$	0.270${}^c$	0.492${}^d$	0.093	$-$0.021	0.033	0.043	0.498
US-DJI	0.564${}^c$	0.511${}^d$	0.473${}^d$	$-$0.077	0.027${}^a$	$-$0.021	$-$0.044${}^a$	0.795
US-IXIC	0.590${}^c$	0.576${}^d$	0.301${}^c$	0.030	$-$0.009	0.004	$-$0.066${}^c$	0.735
US-RUT	0.476${}^b$	0.592${}^d$	0.360${}^d$	$-$0.031	0.035${}^b$	$-$0.018	$-$0.041	0.801
US-SPX	0.486${}^c$	0.535${}^d$	0.432${}^d$	$-$0.049	0.011	$-$0.005	$-$0.046${}^a$	0.792
Panel C: Asia and Australia
CN-SSEC	0.798${}^c$	0.606${}^d$	0.282${}^c$	$-$0.042	$-$0.045${}^b$	0.072${}^c$	$-$0.039${}^b$	0.644
HK-HSI	1.121${}^d$	0.413${}^d$	0.423${}^d$	$-$0.044	0.002	0.006	$-$0.020	0.522
IN-BSESN	0.670${}^d$	0.498${}^d$	0.487${}^d$	$-$0.103	0.080${}^c$	$-$0.049${}^d$	0.008	0.789
IN-NSEI	0.657${}^d$	0.603${}^d$	0.374${}^d$	$-$0.094${}^a$	0.068${}^b$	$-$0.048${}^c$	0.022	0.802
JP-N225	0.629${}^c$	0.358${}^d$	0.647${}^d$	$-$0.129	0.126${}^d$	0.124${}^d$	$-$0.081${}^c$	0.746
KR-KS11	0.546${}^a$	0.438${}^d$	0.518${}^d$	$-$0.050	$-$0.065${}^d$	0.033	$-$0.079${}^d$	0.705
SG-STI	0.647${}^c$	0.273${}^c$	0.743${}^d$	$-$0.147${}^b$	0.000	0.044${}^b$	$-$0.021	0.747
AU-AORD	0.551${}^a$	0.302${}^c$	0.684${}^d$	$-$0.082	$-$0.010	0.002	$-$0.032	0.722

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.