A Note on New Zealand Stock Market Efficiency

13 Pages Posted: 6 Feb 2007

See all articles by Xiaoming Li

Xiaoming Li

Massey University - School of Economics and Finance (Albany)

Jian Xu

Jing Tian Law Firm

Date Written: April 2001

Abstract

This short 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 semi-strong form efficient to a certain degree. However, results concerning large firms are sensitive to the choice of index. The share market of the top 10 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 semi-strong form efficient.

Suggested Citation

Li, Xiaoming and Xu, Jian, A Note on New Zealand Stock Market Efficiency (April 2001). Available at SSRN: https://ssrn.com/abstract=961109 or http://dx.doi.org/10.2139/ssrn.961109

Xiaoming Li (Contact Author)

Massey University - School of Economics and Finance (Albany) ( email )

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Jian Xu

Jing Tian Law Firm ( email )

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China