Table A.13.

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

	Const.	RV${}^D$	RV${}^W$	RV${}^M$	Act.${}_{t+1}$	Act.${}_t$	Act.${}_{t-1}$	EU Act.${}_{t-1}$	$R_2$
Panel A: Europe
CH-SSMI	0.801${}^c$	0.436${}^d$	0.286${}^d$	0.094	$-$0.122${}^d$	0.265${}^d$	$-$0.048${}^d$	0.026	0.495
GB-FTSE	1.441${}^d$	0.248${}^d$	0.329${}^d$	0.137	0.011	$-$0.004	0.015	0.039${}^b$	0.272
Panel B: America
BR-BVSP	0.554${}^a$	0.437${}^d$	0.246${}^c$	0.208${}^c$	$-$0.013	$-$0.004	0.014	0.039${}^a$	0.526
CA-GSPTSE	1.082${}^d$	0.423${}^d$	0.189${}^b$	0.119	$-$0.007	0.018	0.043${}^c$	0.044	0.370
MX-MXX	1.142${}^b$	0.071	0.427${}^d$	0.269${}^a$	0.039	0.051	$-$0.041${}^d$	$-$0.025	0.201
US-DJI	1.047${}^c$	0.371${}^d$	0.269${}^c$	0.135	$-$0.011	0.026	$-$0.017	0.034	0.358
US-IXIC	1.324${}^d$	0.336${}^d$	0.367${}^d$	0.032	$-$0.007	0.023	$-$0.007	0.064${}^c$	0.376
US-RUT	1.487${}^d$	0.365${}^d$	0.305${}^c$	0.041	$-$0.008	0.041	$-$0.023	0.022	0.319
US-SPX	1.024${}^c$	0.416${}^d$	0.293${}^d$	0.060	$-$0.014	0.039	0.005	0.050${}^b$	0.428
Panel C: Asia and Australia
CN-SSEC	1.314${}^d$	0.309${}^d$	0.260${}^b$	0.166	$-$0.087	0.088${}^b$	$-$0.061	$-$0.028	0.281
HK-HSI	0.881${}^c$	0.336${}^d$	0.352${}^d$	0.139	$-$0.003	0.032${}^a$	$-$0.012	$-$0.009	0.380
IN-BSESN	0.715${}^b$	0.300${}^d$	0.221	0.326${}^b$	0.014	0.012	0.027	$-$0.008	0.321
IN-NSEI	0.715${}^b$	0.358${}^d$	0.162	0.325${}^c$	0.018	0.020	0.026	$-$0.008	0.340
JP-N225	1.477${}^d$	0.276${}^d$	0.295${}^c$	0.109	$-$0.097${}^d$	$-$0.057	$-$0.041	$-$0.003	0.233
KR-KS11	0.647${}^a$	0.226${}^d$	0.472${}^d$	0.170	$-$0.118${}^d$	$-$0.054${}^a$	$-$0.101${}^d$	0.040${}^b$	0.441
SG-STI	1.065${}^d$	0.174${}^c$	0.437${}^d$	0.143	0.043	0.029${}^d$	0.014	$-$0.012	0.327
AU-AORD	1.853${}^d$	0.246${}^d$	0.202${}^a$	0.127	0.070${}^c$	$-$0.017	0.034	0.097${}^c$	0.239

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