Table A.10.

The effect of fiscal stimulus 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	1.126${}^d$	0.355${}^d$	0.332${}^d$	0.075	$-$0.001	0.021	0.053${}^b$	0.400
DK-OMXC20	2.176${}^d$	0.305${}^d$	0.352${}^d$	$-$0.078	0.000	0.000	0.000	0.237
ES-IBEX	0.817${}^c$	0.431${}^d$	0.265${}^d$	0.151${}^a$	0.021	$-$0.033	$-$0.009	0.455
EU-STOXX50E	0.914${}^c$	0.265${}^d$	0.439${}^d$	0.108	0.033	$-$0.012	$-$0.002	0.409
FI-OMXHPI	1.601${}^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	1.196${}^c$	0.264${}^d$	0.328${}^c$	0.174	0.012	$-$0.034	0.031	0.273
IT-FTMIB	0.653${}^b$	0.254${}^d$	0.440${}^d$	0.168${}^a$	$-$0.008	$-$0.024	$-$0.002	0.407
NL-AEX	1.042${}^c$	0.256${}^d$	0.464${}^d$	0.067	$-$0.058${}^c$	$-$0.029	0.044	0.331
NO-OSEAX	2.571${}^d$	0.195${}^d$	0.319${}^d$	$-$0.032	$-$0.031	$-$0.074	0.037	0.126
SE-OMXSPI	2.030${}^d$	0.289${}^d$	0.420${}^d$	$-$0.156	0.012	0.007	0.065${}^a$	0.277
Panel B: America
BR-BVSP	0.531${}^a$	0.445${}^d$	0.234${}^c$	0.219${}^c$	0.023	0.030	$-$0.044${}^b$	0.525
CA-GSPTSE	0.912${}^d$	0.434${}^d$	0.202${}^b$	0.141	$-$0.024	0.001	0.032	0.361
MX-MXX	1.100${}^b$	0.069	0.427${}^d$	0.280${}^b$	0.102${}^d$	0.002	$-$0.033${}^c$	0.197
US-DJI	1.050${}^c$	0.373${}^d$	0.284${}^d$	0.118	$-$0.023	0.084	0.011	0.360
US-IXIC	1.198${}^d$	0.340${}^d$	0.387${}^d$	0.035	$-$0.008	0.043	$-$0.002	0.367
US-RUT	1.514${}^d$	0.370${}^d$	0.303${}^d$	0.034	$-$0.018	0.068	$-$0.021	0.317
US-SPX	0.963${}^c$	0.426${}^d$	0.304${}^d$	0.056	$-$0.043	0.106${}^a$	0.027	0.430
Panel C: Asia and Australia
CN-SSEC	1.638${}^d$	0.266${}^c$	0.324${}^c$	0.075	0.028	0.072${}^a$	0.013	0.250
HK-HSI	0.911${}^c$	0.338${}^d$	0.353${}^d$	0.130	$-$0.022	0.030	$-$0.007	0.379
IN-BSESN	0.723${}^b$	0.275${}^d$	0.218${}^b$	0.349${}^c$	0.111${}^c$	0.166	0.090${}^d$	0.350
IN-NSEI	0.743${}^b$	0.335${}^d$	0.166	0.335${}^c$	0.125${}^d$	0.160	0.091${}^d$	0.366
JP-N225	1.477${}^d$	0.270${}^d$	0.264${}^c$	0.145	$-$0.143${}^c$	$-$0.225${}^c$	0.016	0.240
KR-KS11	0.647${}^a$	0.222${}^d$	0.498${}^d$	0.149	$-$0.088${}^d$	$-$0.094${}^d$	$-$0.150${}^d$	0.435
SG-STI	1.013${}^d$	0.179${}^c$	0.444${}^d$	0.144	0.034${}^b$	0.045${}^d$	$-$0.013	0.323
AU-AORD	1.458${}^d$	0.252${}^d$	0.245${}^b$	0.175	0.006	0.004	0.062	0.205

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.