Research Article Open Access

Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices

Christopher Gan1, Minsoo Lee2, Au Yong Hue Hwa3 and Jun Zhang4
  • 1 Commerce Division, PO Box 84, Lincoln University, Canterbury, New Zealand
  • 2 Economics Department, American University Sharjah, Sharjah, United Arab Emirates
  • 3 Department of Accounting and Finance, Faculty of Business and Economics Monash University, VIC3800, Australia
  • 4 Commerce Division, P.O. Box 84, Lincoln University, Canterbury, New Zealand

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.

American Journal of Applied Sciences
Volume 2 No. 5, 2005, 996-1002

DOI: https://doi.org/10.3844/ajassp.2005.996.1002

Submitted On: 22 January 2005 Published On: 31 May 2005

How to Cite: Gan, C., Lee, M., Hwa, A. Y. H. & Zhang, J. (2005). Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices. American Journal of Applied Sciences, 2(5), 996-1002. https://doi.org/10.3844/ajassp.2005.996.1002

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Keywords

  • Share Returns
  • Macroeconomic Variables
  • Cointegration
  • Granger-causality