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

Table 7.

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

Const. RVD RVW RVM Actt+1 Actt Actt1 US Actt1 R2
Panel A: Europe
BE-BFX 0.754c 0.491d 0.440d 0.063 0.005 0.021 0.043d 0.042c 0.795
CH-SSMI 0.404 0.440d 0.614d 0.115a 0.053d 0.002 0.014 0.017 0.776
DE-GDAXI 0.453 0.544d 0.460d 0.082 0.008 0.049d 0.012 0.057d 0.818
DK-OMXC20 0.802d 0.462d 0.505d 0.114a 0.024a 0.008 0.028b 0.052d 0.752
ES-IBEX 0.632c 0.450d 0.530d 0.085 0.009 0.017 0.014 0.040c 0.796
EU-STOXX50E 0.827c 0.488d 0.431d 0.063 0.010 0.067d 0.010 0.059d 0.776
FI-OMXHPI 0.792c 0.546d 0.383d 0.076 0.012 0.023a 0.030b 0.047d 0.757
FR-FCHI 0.587b 0.488d 0.489d 0.077 0.022 0.040a 0.041b 0.057d 0.796
GB-FTSE 0.947c 0.356d 0.558d 0.075 0.032 0.040c 0.019 0.001 0.668
IT-FTMIB 0.636c 0.545d 0.387d 0.046 0.011 0.049d 0.004 0.055d 0.812
NL-AEX 0.570b 0.454d 0.531d 0.081 0.012 0.031b 0.041c 0.061d 0.794
NO-OSEAX 0.860b 0.336d 0.586d 0.068 0.035 0.021 0.057a 0.032 0.629
SE-OMXSPI 0.613b 0.579d 0.373c 0.065 0.020 0.018 0.009 0.045c 0.795
Panel B: America
BR-BVSP 0.667 0.519d 0.429d 0.063 0.018 0.033 0.002 0.005 0.764
CA-GSPTSE 0.154 0.567d 0.449d 0.024 0.009 0.021 0.016 0.066d 0.821
MX-MXX 0.463 0.277d 0.532d 0.113 0.007 0.018 0.010 0.027 0.500
Panel C: Asia and Australia
CN-SSEC 0.725c 0.556d 0.321c 0.015 0.017 0.056c 0.014 0.032 0.640
HK-HSI 1.367d 0.425d 0.391d 0.078 0.014 0.017 0.014 0.029 0.529
IN-BSESN 1.192c 0.447d 0.422d 0.096 0.066c 0.004 0.009 0.011 0.792
IN-NSEI 1.270d 0.530d 0.325c 0.102 0.043b 0.022 0.017 0.014 0.804
JP-N225 0.92d 0.321d 0.616d 0.130a 0.080c 0.056b 0.011 0.002 0.741
KR-KS11 0.953c 0.394d 0.546d 0.121 0.001 0.047d 0.000 0.016 0.705
SG-STI 0.689c 0.278c 0.729d 0.150b 0.019 0.037a 0.055b 0.029 0.755
AU-AORD 0.566 0.312c 0.653d 0.064 0.044a 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. 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, Actt1 are dummy variables multiplied by (RVtD). It represents action that were performed after, during, or before each day, respectively. US Act.t1 represents the actions from the US from the previous day, also multiplied by (RVtD). 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.