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Stock Market Reaction to FOMC Meeting Minutes Releases

Posted in Economic Indicators

Does the U.S. stock market reliably exhibit extreme behavior on days when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues  (at mid-afternoon) its meeting minutes? Are the minutes systematically encouraging, discouraging, calming or exciting? Using release dates for these minutes and contemporaneous daily open, high, low and close levels of S&P Depository Receipts (SPY) during February 2005 through mid-July 2013 (68 release dates), plus three samples of SPY five-minute prices for 9:30-16:oo from 2005-2006 , 2007-2008 and August 2012-July 2013 (see “Intraday U.S. Stock Market Behavior” and “Recent Intraday U.S. Stock Market Behavior”), we find that:

The charts below summarize the following average returns/ranges (upper chart) and associated standard deviations (lower chart) for FOMC meeting minutes release dates and for all other trading days over the entire sample period:

  • Close-Close: return from close on the trading day before release to the close on the release date.
  • Next Day: return from close on the release date to the close the next trading day.
  • High-Open: range between the release date high and the release date open.
  • Low-Open: range between the release date low and the release date open.
  • Close-Open: return from open to the close on the release date.
  • High-Close: range between the release date high and the release date close.
  • Low-Close: range between the release date low and the release date close.

Results indicate that releases may have a slight tendency to suppress daily returns and elevate daily volatilities of the stock market, but effects are neither dramatic nor completely uniform.

How about intraday patterns on release dates?



The next chart show the average SPY intraday cumulative returns based on five-minute prices for FOMC meeting minutes release dates during 2005-2006 (15 releases), 2007-2008 (16 releases) and August 2012-July 2013 (eight releases). Although these subsamples are very small, results suggest that market response to minutes release varies with economic conditions.

For the recent subsample, the market response is on average negative.


In summary, evidence from simple tests does not support a belief that releases of FOMC meeting minutes have any strong and consistent effects on release-date stock market behavior.

Cautions regarding findings include:

  • The sample/subsample may not be representative of market conditions and release date effects over the long term.
  • As noted, subsamples are very small for inference.
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