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

Table A.13.

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

Const. RVD RVW RVM Act.t+1 Act.t Act.t−1 EU Act.t−1 R2
Panel A: Europe
CH-SSMI 0.801c 0.436d 0.286d 0.094 −0.122d 0.265d −0.048d 0.026 0.495
GB-FTSE 1.441d 0.248d 0.329d 0.137 0.011 −0.004 0.015 0.039b 0.272
Panel B: America
BR-BVSP 0.554a 0.437d 0.246c 0.208c −0.013 −0.004 0.014 0.039a 0.526
CA-GSPTSE 1.082d 0.423d 0.189b 0.119 −0.007 0.018 0.043c 0.044 0.370
MX-MXX 1.142b 0.071 0.427d 0.269a 0.039 0.051 −0.041d −0.025 0.201
US-DJI 1.047c 0.371d 0.269c 0.135 −0.011 0.026 −0.017 0.034 0.358
US-IXIC 1.324d 0.336d 0.367d 0.032 −0.007 0.023 −0.007 0.064c 0.376
US-RUT 1.487d 0.365d 0.305c 0.041 −0.008 0.041 −0.023 0.022 0.319
US-SPX 1.024c 0.416d 0.293d 0.060 −0.014 0.039 0.005 0.050b 0.428
Panel C: Asia and Australia
CN-SSEC 1.314d 0.309d 0.260b 0.166 −0.087 0.088b −0.061 −0.028 0.281
HK-HSI 0.881c 0.336d 0.352d 0.139 −0.003 0.032a −0.012 −0.009 0.380
IN-BSESN 0.715b 0.300d 0.221 0.326b 0.014 0.012 0.027 −0.008 0.321
IN-NSEI 0.715b 0.358d 0.162 0.325c 0.018 0.020 0.026 −0.008 0.340
JP-N225 1.477d 0.276d 0.295c 0.109 −0.097d −0.057 −0.041 −0.003 0.233
KR-KS11 0.647a 0.226d 0.472d 0.170 −0.118d −0.054a −0.101d 0.040b 0.441
SG-STI 1.065d 0.174c 0.437d 0.143 0.043 0.029d 0.014 −0.012 0.327
AU-AORD 1.853d 0.246d 0.202a 0.127 0.070c −0.017 0.034 0.097c 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. 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. EU Act.t−1 represents the actions from the EU 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.