Date of Award

    5-2026

    Thesis Subject

    Dissertation/Thesis

    Degree Name

    Bachelor of Science (BS)

    Advisor(s)

    Andrey Ermolov

    Abstract

    This study explores the impact of monetary policy announcements by the U.S. Federal Reserve on the intraday returns of the SPY ETF – an exchange-traded fund that tracks the S&P 500 index (the 500 largest U.S. companies). This paper specifically focuses on the predictability of those intraday returns after the announcements. Using Tick Data 1-minute SPY ETF prices from February 1997 to September 2025 and regressing 1-minute price returns between 1:59 pm and 4:00 pm on monetary policy announcement days, we found that return predictability is highest 26 minutes after the announcement. This price reaction trend lasts approximately 49 minutes, creating a predictable trade window. Regressing the same 1-minute price returns on Wednesdays with no monetary policy announcements, we found weak predictability, suggesting that monetary policy announcements are a significant driver of SPY ETF returns on Wednesdays between 1:59 pm and 4:00 pm and that there are no predictable price trends on Wednesdays without such announcements. The results are consistent with earlier research showing that S&P 500 returns exhibit intraday reactions to macroeconomic announcements. However, this study expands on existing research by narrowing down SPY ETF returns predictability to a single regression model that can be used in a trading algorithm to identify potential trade opportunities following U.S. Federal Reserve monetary policy announcements.

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