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

Table 8.

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

Const. RVD RVW RVM Actt+1 Actt Actt1 EU Actt1 R2
Panel A: Europe
CH-SSMI 0.851d 0.450d 0.565d 0.179c 0.062d 0.005 0.030 0.055c 0.784
GB-FTSE 1.001c 0.356d 0.554d 0.082 0.034a 0.036a 0.016 0.015 0.669
Panel B: America
BR-BVSP 0.640 0.535d 0.417d 0.061 0.015 0.038a 0.004 0.020 0.765
CA-GSPTSE 0.395b 0.501d 0.548d 0.128 0.003 0.006 0.041 0.030 0.816
MX-MXX 0.590 0.278d 0.511d 0.106 0.001 0.014 0.012 0.016 0.497
US-DJI 0.542b 0.535d 0.449d 0.075 0.003 0.044d 0.072d 0.022 0.808
US-IXIC 0.377 0.618d 0.285c 0.047 0.022 0.054d 0.078d 0.013 0.753
US-RUT 0.502b 0.617d 0.328d 0.032 0.003 0.056d 0.063c 0.016 0.813
US-SPX 0.375 0.591d 0.384d 0.033 0.017 0.069d 0.085d 0.016 0.813
Panel C: Asia and Australia
CN-SSEC 0.878c 0.561d 0.348c 0.089 0.014 0.055c 0.014 0.001 0.635
HK-HSI 1.305d 0.412d 0.391d 0.053 0.008 0.015 0.015 0.029 0.529
IN-BSESN 1.177d 0.437d 0.430d 0.092 0.066c 0.004 0.006 0.015 0.792
IN-NSEI 1.285d 0.512d 0.334c 0.098 0.043b 0.021 0.012 0.026a 0.805
JP-N225 1.011d 0.325d 0.597d 0.138a 0.077c 0.047 0.006 0.025 0.743
KR-KS11 1.247d 0.383d 0.528d 0.153a 0.004 0.042d 0.006 0.024 0.707
SG-STI 0.739d 0.281c 0.694d 0.132b 0.008 0.025 0.052c 0.044d 0.761
AU-AORD 0.652a 0.317c 0.643d 0.079 0.043b 0.020 0.036a 0.006 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, Actt1 are dummy variables multiplied by (RVtD). It represents action that were performed after, during, or before each day, respectively. EU Act.t1 represents the actions from the EU 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.