Table A.11.

The effect of macroprudential 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	0.540${}^c$	0.339${}^d$	0.345${}^d$	0.206${}^c$	0.000	0.000	0.000	0.522
CH-SSMI	0.715${}^c$	0.410${}^d$	0.338${}^d$	0.088	0.000	0.000	0.000	0.468
DE-GDAXI	0.992${}^d$	0.347${}^d$	0.389${}^d$	0.056	0.298${}^d$	0.033${}^b$	$-$0.006	0.410
DK-OMXC20	2.176${}^d$	0.305${}^d$	0.352${}^d$	$-$0.078	0.000	0.000	0.000	0.237
ES-IBEX	0.848${}^c$	0.429${}^d$	0.266${}^d$	0.146${}^a$	0.000	0.000	0.000	0.451
EU-STOXX50E	0.885${}^c$	0.257${}^d$	0.474${}^d$	0.087	0.119${}^c$	0.049	0.045${}^c$	0.411
FI-OMXHPI	1.601${}^d$	0.328${}^d$	0.353${}^d$	$-$0.030	0.000	0.000	0.000	0.286
FR-FCHI	0.587${}^b$	0.391${}^d$	0.306${}^c$	0.182${}^b$	0.000	0.000	0.000	0.492
GB-FTSE	1.259${}^c$	0.251${}^d$	0.331${}^d$	0.171	0.138${}^d$	$-$0.032${}^a$	0.056	0.277
IT-FTMIB	0.704${}^c$	0.255${}^d$	0.435${}^d$	0.160${}^a$	0.000	0.000	0.000	0.406
NL-AEX	1.215${}^d$	0.274${}^d$	0.443${}^d$	0.032	0.209${}^d$	$-$0.097${}^d$	0.234${}^d$	0.337
NO-OSEAX	2.590${}^d$	0.195${}^d$	0.322${}^d$	$-$0.040	0.000	0.000	0.000	0.123
SE-OMXSPI	1.950${}^d$	0.295${}^d$	0.415${}^d$	$-$0.137	0.030	$-$0.003	0.004	0.269
Panel B: America
BR-BVSP	0.545${}^a$	0.457${}^d$	0.211${}^c$	0.225${}^c$	$-$0.014	$-$0.026	0.078${}^d$	0.532
CA-GSPTSE	0.987${}^d$	0.428${}^d$	0.205${}^b$	0.124	$-$0.039${}^b$	0.148${}^c$	0.071${}^b$	0.374
MX-MXX	1.078${}^b$	0.073	0.419${}^d$	0.288${}^b$	0.018	0.091${}^d$	$-$0.076${}^d$	0.200
US-DJI	0.943${}^c$	0.377${}^d$	0.270${}^c$	0.153	$-$0.028${}^b$	0.045${}^d$	$-$0.123${}^d$	0.356
US-IXIC	1.139${}^d$	0.339${}^d$	0.372${}^d$	0.065	$-$0.013	$-$0.088${}^d$	$-$0.143${}^d$	0.369
US-RUT	1.509${}^d$	0.363${}^d$	0.300${}^c$	0.046	$-$0.008	$-$0.056${}^d$	$-$0.131${}^d$	0.314
US-SPX	0.903${}^c$	0.428${}^d$	0.291${}^d$	0.081	0.038${}^b$	0.0360${}^c$	$-$0.089${}^d$	0.422
Panel C: Asia and Australia
CN-SSEC	1.170${}^c$	0.306${}^d$	0.267${}^b$	0.190	0.000	0.000	0.000	0.289
HK-HSI	0.931${}^c$	0.327${}^d$	0.339${}^d$	0.151	0.134${}^d$	0.070${}^d$	$-$0.026${}^b$	0.383
IN-BSESN	0.665${}^b$	0.296${}^d$	0.264${}^a$	0.301${}^b$	$-$0.061${}^d$	0.026	$-$0.098${}^d$	0.326
IN-NSEI	0.660${}^b$	0.358${}^d$	0.200	0.303${}^b$	$-$0.072${}^d$	0.063	$-$0.124${}^d$	0.346
JP-N225	1.220${}^c$	0.294${}^d$	0.233${}^b$	0.206	0.002	0.277${}^d$	$-$0.060${}^c$	0.240
KR-KS11	0.704${}^a$	0.225${}^d$	0.505${}^d$	0.127	0.000	0.000	0.000	0.429
SG-STI	1.077${}^d$	0.168${}^c$	0.451${}^d$	0.132	0.050	0.019	0.026	0.325
AU-AORD	1.367${}^c$	0.245${}^d$	0.259${}^b$	0.187	0.184${}^a$	0.074${}^d$	0.119${}^d$	0.216

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.