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A note on New Zealand Stock Market efficiency

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  • Xiaoming Li
  • Jian Xu

Abstract

This paper studies the efficient market hypothesis using four New Zealand Stock Exchange indexes (NZSE 10, NZSE 30, NZSE 40, and NZSE SC) within the random walk, cointegration and Granger causality test framework. The test results have shown that the small-firm stock market is semistrong form efficient to a certain degree. However, results concerning large firms are sensitive to the choice of index. The share market of the top ten companies only is not even weak-form efficient, while the share markets covering the top 30 and 40 large companies are weak-form efficient but not semistrong form efficient.

Suggested Citation

  • Xiaoming Li & Jian Xu, 2002. "A note on New Zealand Stock Market efficiency," Applied Economics Letters, Taylor & Francis Journals, vol. 9(13), pages 879-883.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:13:p:879-883
    DOI: 10.1080/13504850210158980
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    References listed on IDEAS

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    1. I. G. Sharpe, 1983. "New Information and Australian Equity Returns: A Multivariate Analysis," Australian Journal of Management, Australian School of Business, vol. 8(1), pages 21-34, June.
    2. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    3. repec:bla:ecorec:v:69:y:1993:i:207:p:405-10 is not listed on IDEAS
    4. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
    5. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-461, October.
    6. Nicolaas Groenewold, 1997. "Share market efficiency: tests using daily data for Australia and New Zealand," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 645-657.
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    Cited by:

    1. Twm Evans, 2006. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1273-1283.
    2. Hugon, Artur & Muslu, Volkan, 2010. "Market demand for conservative analysts," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 42-57, May.
    3. Truong, Cameron, 2010. "Post earnings announcement drift and the roles of drift-enhanced factors in New Zealand," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 139-157, April.

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