Table 6.

The effect of macroprudential 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	0.983${}^d$	0.473${}^d$	0.423${}^d$	$-$0.073	0.012	$-$0.002	0.044${}^c$	0.792
CH-SSMI	0.511${}^b$	0.441${}^d$	0.631${}^d$	$-$0.157${}^b$	$-$0.064${}^d$	$-$0.035	0.007	0.776
DE-GDAXI	0.828${}^c$	0.499${}^d$	0.473${}^d$	$-$0.125${}^b$	0.024${}^a$	$-$0.002	0.022${}^a$	0.807
DK-OMXC20	0.914${}^d$	0.484${}^d$	0.495${}^d$	$-$0.145${}^c$	0.003	0.003	0.015	0.732
ES-IBEX	0.650${}^c$	0.462${}^d$	0.530${}^d$	$-$0.099	0.014	$-$0.020	0.008	0.791
EU-STOXX50E	0.950${}^c$	0.487${}^d$	0.436${}^d$	$-$0.088	0.006	0.025	0.003	0.760
FI-OMXHPI	1.032${}^d$	0.517${}^d$	0.399${}^d$	$-$0.112${}^b$	0.029${}^b$	0.012	0.018	0.750
FR-FCHI	0.914${}^c$	0.434${}^d$	0.506${}^d$	$-$0.104	0.017	0.011	0.016	0.783
GB-FTSE	0.920${}^c$	0.334${}^d$	0.562${}^d$	$-$0.051	$-$0.017	0.027	0.030	0.664
IT-FTMIB	0.834${}^d$	0.496${}^d$	0.460${}^d$	$-$0.110${}^a$	0.010	0.023	0.006	0.796
NL-AEX	0.899${}^d$	0.454${}^d$	0.516${}^d$	$-$0.135${}^b$	0.011	0.006	0.027${}^a$	0.780
NO-OSEAX	1.350${}^d$	0.323${}^d$	0.535${}^d$	$-$0.101	0.044${}^b$	0.012	0.043	0.623
SE-OMXSPI	1.091${}^d$	0.532${}^d$	0.395${}^c$	$-$0.142${}^c$	0.055${}^d$	0.012	$-$0.002	0.797
Panel B: America
BR-BVSP	0.470	0.526${}^d$	0.440${}^d$	$-$0.041	$-$0.018	0.030	$-$0.027	0.767
CA-GSPTSE	0.412${}^c$	0.527${}^d$	0.473${}^d$	$-$0.081	0.035	$-$0.012	$-$0.029	0.814
MX-MXX	0.807${}^b$	0.253${}^c$	0.515${}^d$	0.080	0.055${}^b$	$-$0.017	0.023	0.501
US-DJI	0.354	0.529${}^d$	0.472${}^d$	$-$0.049	$-$0.025	0.052${}^d$	$-$0.069${}^d$	0.803
US-IXIC	0.341	0.598${}^d$	0.304${}^c$	0.056	$-$0.018	0.065${}^c$	$-$0.094${}^d$	0.752
US-RUT	0.455${}^a$	0.598${}^d$	0.352${}^d$	$-$0.026	0.005	0.052${}^d$	$-$0.063${}^d$	0.808
US-SPX	0.290	0.563${}^d$	0.413${}^d$	$-$0.014	$-$0.020	0.070${}^d$	$-$0.091${}^d$	0.807
Panel C: Asia and Australia
CN-SSEC	0.856${}^c$	0.571${}^d$	0.296${}^c$	$-$0.027	$-$0.049${}^c$	$-$0.032	$-$0.055${}^b$	0.629
HK-HSI	1.250${}^d$	0.492${}^d$	0.317${}^c$	$-$0.047	0.193${}^a$	$-$0.087${}^d$	0.062${}^b$	0.588
IN-BSESN	0.446${}^a$	0.459${}^d$	0.557${}^d$	$-$0.087	0.001	0.002	$-$0.053${}^c$	0.783
IN-NSEI	0.501${}^c$	0.578${}^d$	0.414${}^d$	$-$0.075	0.005	0.002	$-$0.039${}^a$	0.797
JP-N225	0.523${}^b$	0.352${}^d$	0.632${}^d$	$-$0.079	0.005	$-$0.019	$-$0.050	0.722
KR-KS11	1.097${}^d$	0.394${}^d$	0.535${}^d$	$-$0.137${}^a$	$-$0.006	0.043${}^c$	0.016	0.701
SG-STI	0.492${}^b$	0.288${}^d$	0.736${}^d$	$-$0.119	$-$0.011	0.051${}^b$	$-$0.075${}^d$	0.757
AU-AORD	0.818${}^b$	0.325${}^c$	0.604${}^d$	$-$0.082	0.066${}^c$	0.013	$-$0.021	0.730

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.