Table A.12.

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

	Const.	RV${}^D$	RV${}^W$	RV${}^M$	Act.${}_{t+1}$	Act.${}_t$	Act.${}_{t-1}$	US Act.${}_{t-1}$	$R_2$
Panel A: Europe
BE-BFX	0.530${}^c$	0.357${}^d$	0.337${}^d$	0.199${}^c$	$-$0.057${}^d$	$-$0.056${}^b$	0.157${}^c$	$-$0.011	0.541
CH-SSMI	0.763${}^c$	0.436${}^d$	0.310${}^d$	0.079	$-$0.100${}^d$	0.261${}^d$	$-$0.051${}^d$	0.020	0.494
DE-GDAXI	1.310${}^d$	0.331${}^d$	0.358${}^d$	0.031	0.028	0.035	0.036	0.033	0.403
DK-OMXC20	2.191${}^d$	0.309${}^d$	0.359${}^d$	$-$0.092	$-$0.004	0.043	$-$0.107${}^d$	0.003	0.250
ES-IBEX	0.755${}^c$	0.436${}^d$	0.258${}^d$	0.166${}^b$	0.022	$-$0.035${}^a$	$-$0.008	$-$0.019	0.457
EU-STOXX50E	1.026${}^c$	0.257${}^d$	0.448${}^d$	0.080	0.051${}^c$	$-$0.011	$-$0.005	0.008	0.420
FI-OMXHPI	1.753${}^d$	0.322${}^d$	0.374${}^d$	$-$0.081	0.000	0.000	0.000	0.043	0.293
FR-FCHI	0.670${}^c$	0.413${}^d$	0.244${}^c$	0.201${}^b$	0.247${}^d$	$-$0.041${}^c$	0.025${}^b$	0.003	0.528
GB-FTSE	1.294${}^c$	0.259${}^d$	0.321${}^c$	0.166	0.011	$-$0.005	0.0200	$-$0.012	0.268
IT-FTMIB	0.762${}^c$	0.250${}^d$	0.446${}^d$	0.140	0.003	$-$0.008	0.012	0.020	0.408
NL-AEX	1.096${}^c$	0.256${}^d$	0.462${}^d$	0.057	$-$0.042	$-$0.040	0.064${}^a$	0.011	0.334
NO-OSEAX	2.730${}^d$	0.197${}^d$	0.334${}^d$	$-$0.084	$-$0.095${}^d$	0.082${}^d$	$-$0.042${}^c$	0.052${}^a$	0.140
SE-OMXSPI	2.101${}^d$	0.279${}^d$	0.440${}^d$	$-$0.184${}^a$	0.014	0.009	0.041	0.030	0.278
Panel B: America
BR-BVSP	0.558${}^a$	0.446${}^d$	0.226${}^c$	0.218${}^c$	$-$0.017	$-$0.000	0.018	0.019	0.524
CA-GSPTSE	1.057${}^d$	0.416${}^d$	0.212${}^b$	0.108	$-$0.010	0.019	0.050${}^c$	0.031	0.369
MX-MXX	1.268${}^b$	0.062	0.427${}^d$	0.250${}^a$	0.0310	0.056${}^a$	$-$0.037${}^c$	0.029	0.203
Panel C: Asia and Australia
CN-SSEC	1.325${}^d$	0.309${}^d$	0.255${}^b$	0.166	$-$0.091	0.090${}^b$	$-$0.069	0.009	0.278
HK-HSI	0.915${}^c$	0.323${}^d$	0.377${}^d$	0.117	$-$0.009	0.031${}^b$	$-$0.015	0.040${}^c$	0.388
IN-BSESN	0.757${}^b$	0.291${}^d$	0.239${}^a$	0.306${}^b$	0.011	0.015	0.018	0.027	0.324
IN-NSEI	0.746${}^c$	0.351${}^d$	0.176	0.309${}^b$	0.016	0.023	0.017	0.024	0.342
JP-N225	1.473${}^d$	0.276${}^d$	0.294${}^c$	0.111	$-$0.094${}^d$	$-$0.056	$-$0.041	$-$0.009	0.234
KR-KS11	0.669${}^a$	0.224${}^d$	0.481${}^d$	0.158	$-$0.118${}^d$	$-$0.053${}^a$	$-$0.101${}^d$	0.022	0.439
SG-STI	1.107${}^d$	0.171${}^c$	0.440${}^d$	0.132	0.040	0.027${}^c$	0.012	0.010	0.327
AU-AORD	1.705${}^d$	0.236${}^d$	0.251${}^b$	0.118	0.064${}^c$	$-$0.009	0.043	0.064${}^a$	0.232

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. US Act.${}_{t-1}$ represents the actions from the US 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.