Table 7.

The effect of US action announcements on the volatility in other countries.

	Const.	RV${}^D$	RV${}^W$	RV${}^M$	Act${}_{t+1}$	Act${}_t$	Act${}_{t-1}$	US Act${}_{t-1}$	$R^2$
Panel A: Europe
BE-BFX	0.754${}^c$	0.491${}^d$	0.440${}^d$	$-$0.063	$-$0.005	0.021	0.043${}^d$	$-$0.042${}^c$	0.795
CH-SSMI	0.404	0.440${}^d$	0.614${}^d$	$-$0.115${}^a$	$-$0.053${}^d$	0.002	$-$0.014	$-$0.017	0.776
DE-GDAXI	0.453	0.544${}^d$	0.460${}^d$	$-$0.082	$-$0.008	0.049${}^d$	0.012	$-$0.057${}^d$	0.818
DK-OMXC20	0.802${}^d$	0.462${}^d$	0.505${}^d$	$-$0.114${}^a$	0.024${}^a$	0.008	0.028${}^b$	$-$0.052${}^d$	0.752
ES-IBEX	0.632${}^c$	0.450${}^d$	0.530${}^d$	$-$0.085	0.009	0.017	0.014	$-$0.040${}^c$	0.796
EU-STOXX50E	0.827${}^c$	0.488${}^d$	0.431${}^d$	$-$0.063	$-$0.010	0.067${}^d$	0.010	$-$0.059${}^d$	0.776
FI-OMXHPI	0.792${}^c$	0.546${}^d$	0.383${}^d$	$-$0.076	0.012	0.023${}^a$	0.030${}^b$	$-$0.047${}^d$	0.757
FR-FCHI	0.587${}^b$	0.488${}^d$	0.489${}^d$	$-$0.077	$-$0.022	0.040${}^a$	0.041${}^b$	$-$0.057${}^d$	0.796
GB-FTSE	0.947${}^c$	0.356${}^d$	0.558${}^d$	$-$0.075	$-$0.032	0.040${}^c$	0.019	0.001	0.668
IT-FTMIB	0.636${}^c$	0.545${}^d$	0.387${}^d$	$-$0.046	0.011	0.049${}^d$	0.004	$-$0.055${}^d$	0.812
NL-AEX	0.570${}^b$	0.454${}^d$	0.531${}^d$	$-$0.081	$-$0.012	0.031${}^b$	0.041${}^c$	$-$0.061${}^d$	0.794
NO-OSEAX	0.860${}^b$	0.336${}^d$	0.586${}^d$	$-$0.068	$-$0.035	0.021	0.057${}^a$	$-$0.032	0.629
SE-OMXSPI	0.613${}^b$	0.579${}^d$	0.373${}^c$	$-$0.065	0.020	0.018	0.009	$-$0.045${}^c$	0.795
Panel B: America
BR-BVSP	0.667	0.519${}^d$	0.429${}^d$	$-$0.063	$-$0.018	0.033	0.002	$-$0.005	0.764
CA-GSPTSE	0.154	0.567${}^d$	0.449${}^d$	$-$0.024	0.009	0.021	$-$0.016	$-$0.066${}^d$	0.821
MX-MXX	0.463	0.277${}^d$	0.532${}^d$	0.113	0.007	0.018	$-$0.010	$-$0.027	0.500
Panel C: Asia and Australia
CN-SSEC	0.725${}^c$	0.556${}^d$	0.321${}^c$	$-$0.015	$-$0.017	0.056${}^c$	$-$0.014	$-$0.032	0.640
HK-HSI	1.367${}^d$	0.425${}^d$	0.391${}^d$	$-$0.078	0.014	$-$0.017	$-$0.014	0.029	0.529
IN-BSESN	1.192${}^c$	0.447${}^d$	0.422${}^d$	$-$0.096	0.066${}^c$	$-$0.004	0.009	0.011	0.792
IN-NSEI	1.270${}^d$	0.530${}^d$	0.325${}^c$	$-$0.102	0.043${}^b$	0.022	0.017	0.014	0.804
JP-N225	0.92${}^d$	0.321${}^d$	0.616${}^d$	$-$0.130${}^a$	0.080${}^c$	0.056${}^b$	0.011	0.002	0.741
KR-KS11	0.953${}^c$	0.394${}^d$	0.546${}^d$	$-$0.121	0.001	0.047${}^d$	$-$0.000	$-$0.016	0.705
SG-STI	0.689${}^c$	0.278${}^c$	0.729${}^d$	$-$0.150${}^b$	$-$0.019	0.037${}^a$	$-$0.055${}^b$	0.029	0.755
AU-AORD	0.566	0.312${}^c$	0.653${}^d$	$-$0.064	0.044${}^a$	0.022	$-$0.034	$-$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. US Act.${}_{t-1}$ represents the actions from the US from the previous day, also multiplied by (${\mathit{RV}}_t^D$). $R^2$ 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.