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- W2099215105 abstract "This study aims to re-examine the market efficiencies in New Zealand Stock Exchange (NZSE) and Australia Stock Exchange (ASX) stock indices to investigate whether Groenewold’s[1] findings still hold in the period after the financial liberalization (January 1990-January 2003). In addition, the study also examines whether the larger US NYSE and Japanese NIKKEI stock indices have any influence on the NZSE and ASX indices. Similar to Groenewold’s findings, we find evidence of weak form efficiency for NZSE and ASX stock indices using the Augmented-Dickey Fuller and Philip-Perron unit root tests. In contrast to Groenewold’s findings, the Engle-Granger cointegration test results suggest that the NZSE stock index is cointegrated with and granger caused by the ASX index, both violating the semi-strong form market efficiency of NZSE. Although the NZSE is a small stock market, its stock index is relatively independent with respect to the NYSE and NIKKEI stock indices." @default.
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- W2099215105 date "2005-05-01" @default.
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- W2099215105 title "Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices" @default.
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- W2099215105 doi "https://doi.org/10.3844/ajassp.2005.996.1002" @default.
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