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


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. Copyright (c) International Review of Finance Ltd. 2007.

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Article provided by International Review of Finance Ltd. in its journal International Review of Finance.

Volume (Year): 7 (2007)
Issue (Month): 1-2 ()
Pages: 21-34

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Handle: RePEc:bla:irvfin:v:7:y:2007:i:1-2:p:21-34
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