This paper examines the evolution of the relationship between the onshore and offshore benchmarks for New Zealand dollar funding during the global financial crisis. In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse...

This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significant; (b)...

The author uses a high‐frequency data set to investigate the roles of the sterling swap and futures markets in price discovery at the short‐end of the sterling yield curve. Information flows between the futures and swap markets are found to be largely contemporaneous. Causal information...

This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information...

This study examines daily and intraday data on sterling interest rate futures and IMM forward rate agreement (FRA) contracts for evidence of the convexity adjustment in FRA quotes. The futures/FRA differential is marginally negative, contrary to the predictions of convexity models. Standard...

This study investigates the impact of amendments to the New Zealand Exchange's listing rules and the Securities Markets Act 1988 enacted in December 2002. These reforms provided statutory backing for a continuous disclosure listing rule requiring companies to immediately release all...

Purpose – The purpose of this paper is to examine the proposition that unexplained price and volume movements detected by the New Zealand Exchange's (“NZX”) surveillance staff reflect speculative trading. Design/methodology/approach – The paper examines a sample of 98 price queries...

Purpose – The purpose of this paper is to investigate the impact of the introduction of New Zealand's statutory‐backed continuous disclosure regime enacted in December 2002 on the differential disclosure behaviour of New Zealand firms with good and bad earnings news....