1、4Market Cleanliness in the New Zealand Equity Market OCTOBER 2024 Nam Ngo,Brianne Leef,Sharon Louie,Lynda Sanderson and Stuart Johnson OCCASIONAL PAPER SERIES|Market Cleanliness in the New Zealand Equity Market 2 Financial Markets Authority 2024.All rights reserved.This paper is published by the Fin

2、ancial Markets Authority and is based on research conducted in 2024.The views,opinions,findings,conclusions and recommendations expressed in this paper are strictly those of the authors and do not necessarily reflect the views of the Financial Markets Authority,its Board,or the New Zealand Governmen

3、t.This document should not be used as a substitute for legislation or legal advice.The Financial Markets Authority is not responsible for the results of any actions taken on the basis of information in this document,or for any errors or omissions in,or the correctness of,the information contained he

4、rein.OCCASIONAL PAPER SERIES|Market Cleanliness in the New Zealand Equity Market 3 Contents Contents 3 Foreword by Stuart Johnson,Chief Economist 4 Executive summary 5 1.Introduction 6 2.Background 7 3.Literature review 8 4.Market Cleanliness Statistic 9 4.1 Methodology 9 4.2 Data 12 4.3 Limitations

5、 and mitigations 12 4.4 Results 13 4.5 Factors associated with abnormality in stock return 16 5.Abnormal Trading Volume Ratio 20 5.1 Methodology 20 5.2 Potential issues and mitigations 21 5.3 Results 22 5.4 Factors associated with abnormality in trading volume 23 6.Comparison of the MCS and ATVR 26

6、7.Conclusion 27 Academic peer review report 29 Glossary 30 References 31 Appendix A:How different financial regulators measure market cleanliness 33 Appendix B:Robustness tests 34 Appendix C:Univariate analysis 40 OCCASIONAL PAPER SERIES|Market Cleanliness in the New Zealand Equity Market 4 Foreword