This report assesses the cleanliness of New Zealand equity markets. The assessment is based on the prevalence of abnormal price movements ahead of material price sensitive announcements -measured by the market cleanliness statistic (MCS). The report assessed the New Zealand market cleanliness for the years 2010-2016 and found that the MCS appears to be fluctuating and does not display a clear increasing or decreasing trend.
The research was carried out as part of the Victoria University Wellington Summer research scholarship and was jointly supported by the FMA and NZXR. The views are those of the author, rather than the FMA or NZXR.
See media release.