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dc.contributor.authorHagan, Andrewen_NZ
dc.identifier.citationHagan, A. (2004). The news-stock price relationship in New Zealand (Thesis). Retrieved from
dc.description.abstractThis article examines the news-stock price hypothesis by assessing whether large 10-minute returns in the NZSX10 gross index are preceded or accompanied by information arrival that can explain the returns. It finds that there are explanations for only 29 of the 112 large 10-minute returns identified during the 21-month sample period. These explanations consist mainly of company specific and macroeconomic announcements. The lack of explanation for the majority of the large returns confirms the results of other studies conducted overseas and indicates that a more complex model of stock price determination than the efficient markets hypothesis may be required. Further investigation via regression analysis indicates that the NZSX10 index has a high correlation with overseas market returns, a source of information not considered during the first part of the paper. This result adds some strength to the news-stock price hypothesis but is not strong enough to save it entirely.en_NZ
dc.subjectnews-stock price hypothesisen_NZ
dc.subjectefficient markets hypothesisen_NZ
dc.subjectoverseas market returnsen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleThe news-stock price relationship in New Zealanden_NZ
otago.schoolFinanceen_NZ of Otagoen_NZ Thesesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints583en_NZ & Quantitative Analysisen_NZ
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