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

14 Pages Posted: 18 Jan 2008

See all articles by Charles Rayhorn

Charles Rayhorn

COB Northern Michigan University

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance

Jung-Suk Yu

School of Urban Planning & Real Estate Studies, Dankook University

Kenneth R. Janson

affiliation not provided to SSRN

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

Rayhorn, Charles and Hassan, M. Kabir and Yu, Jung-Suk and JANSON, KENNETH R., Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non-Linearity, Thin Trading and Asymmetric Information. International Review of Finance, Vol. 7, Issue 1-2, pp. 21-34, March/June 2007, Available at SSRN: https://ssrn.com/abstract=1084212 or http://dx.doi.org/10.1111/j.1468-2443.2007.00066.x

Charles Rayhorn

COB Northern Michigan University ( email )

1401 Presque Isle Ave
Marquette, MI 49855
United States
906-227-1839 (Phone)

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance ( email )

2000 Lakeshore Drive
New Orleans, LA 70148
United States

Jung-Suk Yu

School of Urban Planning & Real Estate Studies, Dankook University ( email )

152, Jukjeon-ro, Suji-gu, Yongin-si
Gyeonggi-do, 16890
Korea, Republic of (South Korea)

KENNETH R. JANSON

affiliation not provided to SSRN

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