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. 2022 Jan 11;60:101613. doi: 10.1016/j.ribaf.2022.101613

Table A.12.

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

Const. RVD RVW RVM Act.t+1 Act.t Act.t−1 US Act.t−1 R2
Panel A: Europe
BE-BFX 0.530c 0.357d 0.337d 0.199c −0.057d −0.056b 0.157c −0.011 0.541
CH-SSMI 0.763c 0.436d 0.310d 0.079 −0.100d 0.261d −0.051d 0.020 0.494
DE-GDAXI 1.310d 0.331d 0.358d 0.031 0.028 0.035 0.036 0.033 0.403
DK-OMXC20 2.191d 0.309d 0.359d −0.092 −0.004 0.043 −0.107d 0.003 0.250
ES-IBEX 0.755c 0.436d 0.258d 0.166b 0.022 −0.035a −0.008 −0.019 0.457
EU-STOXX50E 1.026c 0.257d 0.448d 0.080 0.051c −0.011 −0.005 0.008 0.420
FI-OMXHPI 1.753d 0.322d 0.374d −0.081 0.000 0.000 0.000 0.043 0.293
FR-FCHI 0.670c 0.413d 0.244c 0.201b 0.247d −0.041c 0.025b 0.003 0.528
GB-FTSE 1.294c 0.259d 0.321c 0.166 0.011 −0.005 0.0200 −0.012 0.268
IT-FTMIB 0.762c 0.250d 0.446d 0.140 0.003 −0.008 0.012 0.020 0.408
NL-AEX 1.096c 0.256d 0.462d 0.057 −0.042 −0.040 0.064a 0.011 0.334
NO-OSEAX 2.730d 0.197d 0.334d −0.084 −0.095d 0.082d −0.042c 0.052a 0.140
SE-OMXSPI 2.101d 0.279d 0.440d −0.184a 0.014 0.009 0.041 0.030 0.278
Panel B: America
BR-BVSP 0.558a 0.446d 0.226c 0.218c −0.017 −0.000 0.018 0.019 0.524
CA-GSPTSE 1.057d 0.416d 0.212b 0.108 −0.010 0.019 0.050c 0.031 0.369
MX-MXX 1.268b 0.062 0.427d 0.250a 0.0310 0.056a −0.037c 0.029 0.203
Panel C: Asia and Australia
CN-SSEC 1.325d 0.309d 0.255b 0.166 −0.091 0.090b −0.069 0.009 0.278
HK-HSI 0.915c 0.323d 0.377d 0.117 −0.009 0.031b −0.015 0.040c 0.388
IN-BSESN 0.757b 0.291d 0.239a 0.306b 0.011 0.015 0.018 0.027 0.324
IN-NSEI 0.746c 0.351d 0.176 0.309b 0.016 0.023 0.017 0.024 0.342
JP-N225 1.473d 0.276d 0.294c 0.111 −0.094d −0.056 −0.041 −0.009 0.234
KR-KS11 0.669a 0.224d 0.481d 0.158 −0.118d −0.053a −0.101d 0.022 0.439
SG-STI 1.107d 0.171c 0.440d 0.132 0.040 0.027c 0.012 0.010 0.327
AU-AORD 1.705d 0.236d 0.251b 0.118 0.064c −0.009 0.043 0.064a 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. RVD is realized volatility from the previous day, RVW and RVM is the average realized volatility from the previous week (5 days) and month (2 days) respectively. Actt+1, Actt, Actt−1 are dummy variables multiplied by (RVtD). 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 (RVtD). R2 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.