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Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non‐Linearity, Thin Trading and Asymmetric Information

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  • CHARLES RAYHORN
  • M. KABIR HASSAN
  • JUNG‐SUK YU
  • KENNETH R. JANSON

Abstract

This paper examines the efficiency of New Zealand's stock market by assessing the prevalence of thin trading, non‐linearity and information asymmetry. We find that the efficiency of this emerging market has been enhanced over time due to regulatory changes and the transition of the New Zealand economy to a free market orientation. During the 1970s and 1980s, the stock market appears to have been inefficient with thin trading and non‐linearity as leading causative agents. Our evaluation of non‐linear models, adjusted for thin trading effects, however, strongly suggests that the New Zealand stock market has become more efficient since 1990.

Suggested Citation

  • Charles Rayhorn & M. Kabir Hassan & Jung‐Suk Yu & Kenneth R. Janson, 2007. "Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non‐Linearity, Thin Trading and Asymmetric Information," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 21-34, March.
    • Handle: RePEc:bla:irvfin:v:7:y:2007:i:1-2:p:21-34
    DOI: 10.1111/j.1468-2443.2007.00066.x
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    References listed on IDEAS

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    Cited by:

    1. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Other publications TiSEM 9bcb5c91-4bab-431f-9891-1, Tilburg University, School of Economics and Management.
    2. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Discussion Paper 2011-044, Tilburg University, Center for Economic Research.
    3. Kuttu, Saint, 2018. "Modelling long memory in volatility in sub-Saharan African equity markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 176-185.
    4. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Other publications TiSEM 072318eb-d214-4c7a-ac7a-d, Tilburg University, School of Economics and Management.
    5. Humphery-Jenner, Mark L., 2012. "Internal and external discipline following securities class actions," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 151-179.
    6. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    7. Goohoon Kwon & Mr. Raphael A Espinoza, 2009. "Regional Financial Integration in the Caribbean: Evidence From Financial and Macroeconomic Data," IMF Working Papers 2009/139, International Monetary Fund.
    8. Kuttu, Saint, 2014. "Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis," Global Finance Journal, Elsevier, vol. 25(1), pages 56-69.
    9. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.

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