Table A.9.

The effect of economic 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	0.554${}^c$	0.356${}^d$	0.339${}^d$	0.192${}^c$	$-$0.056${}^d$	$-$0.055${}^b$	0.159${}^c$	0.540
CH-SSMI	0.718${}^c$	0.443${}^d$	0.295${}^d$	0.098	$-$0.100${}^d$	0.261${}^d$	$-$0.052${}^d$	0.492
DE-GDAXI	1.218${}^d$	0.340${}^d$	0.345${}^d$	0.058	0.026	0.031	0.035	0.400
DK-OMXC20	2.177${}^d$	0.309${}^d$	0.357${}^d$	$-$0.088	$-$0.004	0.043	$-$0.106${}^d$	0.250
ES-IBEX	0.817${}^c$	0.431${}^d$	0.265${}^d$	0.151${}^a$	0.021	$-$0.033	$-$0.009	0.455
EU-STOXX50E	1.018${}^c$	0.257${}^d$	0.446${}^d$	0.083	0.052${}^c$	$-$0.011	$-$0.004	0.419
FI-OMXHPI	1.601${}^d$	0.328${}^d$	0.353${}^d$	$-$0.030	0.000	0.000	0.000	0.286
FR-FCHI	0.663${}^c$	0.413${}^d$	0.243${}^c$	0.203${}^c$	0.247${}^d$	$-$0.042${}^c$	0.024${}^b$	0.528
GB-FTSE	1.326${}^c$	0.256${}^d$	0.324${}^d$	0.158	0.011	$-$0.004	0.020	0.268
IT-FTMIB	0.708${}^b$	0.256${}^d$	0.435${}^d$	0.158	0.005	$-$0.010	0.010	0.407
NL-AEX	1.076${}^c$	0.259${}^d$	0.456${}^d$	0.064	$-$0.042	$-$0.040	0.065${}^a$	0.333
NO-OSEAX	2.557${}^d$	0.201${}^d$	0.316${}^d$	$-$0.031	$-$0.078${}^d$	0.072${}^d$	$-$0.052${}^d$	0.131
SE-OMXSPI	2.035${}^d$	0.290${}^d$	0.421${}^d$	$-$0.158	0.014	0.006	0.038	0.273
Panel B: America
BR-BVSP	0.524	0.453${}^d$	0.223${}^c$	0.223${}^c$	$-$0.016	$-$0.002	0.018	0.522
CA-GSPTSE	1.014${}^d$	0.425${}^d$	0.198${}^b$	0.126	$-$0.012	0.017	0.052${}^d$	0.367
MX-MXX	1.116${}^b$	0.067	0.428${}^d$	0.277${}^b$	0.034	0.052	$-$0.040${}^d$	0.198
US-DJI	0.973${}^c$	0.379${}^d$	0.271${}^c$	0.142	$-$0.013	0.028	$-$0.018	0.356
US-IXIC	1.184${}^d$	0.342${}^d$	0.384${}^d$	0.039	$-$0.009	0.027	$-$0.008	0.368
US-RUT	1.511${}^d$	0.369${}^d$	0.304${}^c$	0.035	$-$0.008	0.043	$-$0.023	0.318
US-SPX	0.943${}^c$	0.426${}^d$	0.299${}^d$	0.065	$-$0.019	0.042	0.004	0.425
Panel C: Asia and Australia
CN-SSEC	1.315${}^d$	0.309${}^d$	0.257${}^b$	0.166	$-$0.092	0.089${}^b$	$-$0.070	0.278
HK-HSI	0.880${}^c$	0.333${}^d$	0.355${}^d$	0.138	$-$0.002	0.033${}^a$	$-$0.012	0.379
IN-BSESN	0.716${}^b$	0.299${}^d$	0.219	0.329${}^b$	0.014	0.013	0.026	0.321
IN-NSEI	0.715${}^b$	0.357${}^d$	0.160	0.328${}^c$	0.018	0.021	0.025	0.340
JP-N225	1.468${}^d$	0.276${}^d$	0.295${}^c$	0.111	$-$0.096${}^d$	$-$0.057	$-$0.041	0.233
KR-KS11	0.615	0.227${}^d$	0.475${}^d$	0.174	$-$0.121${}^d$	$-$0.057${}^b$	$-$0.104${}^d$	0.438
SG-STI	1.091${}^d$	0.171${}^c$	0.438${}^d$	0.138	0.044	0.028${}^c$	0.013	0.326
AU-AORD	1.629${}^d$	0.244${}^d$	0.212${}^a$	0.171	0.063${}^c$	$-$0.012	0.049	0.221

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.