Table 8.

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

	Const.	RV${}^D$	RV${}^W$	RV${}^M$	Act${}_{t+1}$	Act${}_t$	Act${}_{t-1}$	EU Act${}_{t-1}$	$R^2$
Panel A: Europe
CH-SSMI	0.851${}^d$	0.450${}^d$	0.565${}^d$	$-$0.179${}^c$	$-$0.062${}^d$	0.005	$-$0.030	0.055${}^c$	0.784
GB-FTSE	1.001${}^c$	0.356${}^d$	0.554${}^d$	$-$0.082	$-$0.034${}^a$	0.036${}^a$	0.016	0.015	0.669
Panel B: America
BR-BVSP	0.640	0.535${}^d$	0.417${}^d$	$-$0.061	$-$0.015	0.038${}^a$	0.004	$-$0.020	0.765
CA-GSPTSE	0.395${}^b$	0.501${}^d$	0.548${}^d$	$-$0.128	$-$0.003	$-$0.006	$-$0.041	0.030	0.816
MX-MXX	0.590	0.278${}^d$	0.511${}^d$	0.106	0.001	0.014	$-$0.012	$-$0.016	0.497
US-DJI	0.542${}^b$	0.535${}^d$	0.449${}^d$	$-$0.075	0.003	0.044${}^d$	$-$0.072${}^d$	0.022	0.808
US-IXIC	0.377	0.618${}^d$	0.285${}^c$	0.047	$-$0.022	0.054${}^d$	$-$0.078${}^d$	0.013	0.753
US-RUT	0.502${}^b$	0.617${}^d$	0.328${}^d$	$-$0.032	$-$0.003	0.056${}^d$	$-$0.063${}^c$	0.016	0.813
US-SPX	0.375	0.591${}^d$	0.384${}^d$	$-$0.033	$-$0.017	0.069${}^d$	$-$0.085${}^d$	0.016	0.813
Panel C: Asia and Australia
CN-SSEC	0.878${}^c$	0.561${}^d$	0.348${}^c$	$-$0.089	$-$0.014	0.055${}^c$	$-$0.014	$-$0.001	0.635
HK-HSI	1.305${}^d$	0.412${}^d$	0.391${}^d$	$-$0.053	0.008	$-$0.015	$-$0.015	0.029	0.529
IN-BSESN	1.177${}^d$	0.437${}^d$	0.430${}^d$	$-$0.092	0.066${}^c$	$-$0.004	0.006	0.015	0.792
IN-NSEI	1.285${}^d$	0.512${}^d$	0.334${}^c$	$-$0.098	0.043${}^b$	0.021	0.012	0.026${}^a$	0.805
JP-N225	1.011${}^d$	0.325${}^d$	0.597${}^d$	$-$0.138${}^a$	0.077${}^c$	0.047	0.006	0.025	0.743
KR-KS11	1.247${}^d$	0.383${}^d$	0.528${}^d$	$-$0.153${}^a$	$-$0.004	0.042${}^d$	$-$0.006	0.024	0.707
SG-STI	0.739${}^d$	0.281${}^c$	0.694${}^d$	$-$0.132${}^b$	$-$0.008	0.025	$-$0.052${}^c$	0.044${}^d$	0.761
AU-AORD	0.652${}^a$	0.317${}^c$	0.643${}^d$	$-$0.079	0.043${}^b$	0.020	$-$0.036${}^a$	$-$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. 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. EU Act.${}_{t-1}$ represents the actions from the EU 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.