A note on New Zealand Stock Market efficiency
AbstractThis 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.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 9 (2002)
Issue (Month): 13 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- 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.
- Hugon, Artur & Muslu, Volkan, 2010. "Market demand for conservative analysts," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 42-57, May.
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