... findings for sample periods of varying length around the change in anonymity (Comerton‐Forde et al., 2005). Thus, we employ three sample periods centred on the switch to anonymous trading: © Emerald Group Publishing Limited 2011 Liquidity Stock markets New Zealand On Monday...

...Abeyratna Gunasekarage; Hung Wan Kot Purpose The purpose of this paper is to examine the profitability of return‐based investment strategies in the New Zealand stock market; 16 such strategies are examined for the period from January 1995 to December 2004. Design/methodology/approach The paper...

... and Australian evidence. Journal of Financial Economics 12, 105-128. Chan, L.K., H. Yasushi and J. Lakonishok (1991). Fundamentals and stock returns in Japan. Journal of Finance 46, 1739-1789. DeBondt, W.F. and R. H. Thaler (1985). Does the stock market overreact? Journal of Finance 40, 557-581. Daniel, K. and S...

... of 71 stocks. Our empirical results show that the reforms enacted in December 2002 had no significant effect on either the level of information‐based trading or the adverse selection component of market spreads in our sample of NZX‐listed stocks. New Zealand Stock markets Disclosure Pacific...

... of random behaviour in our sample period compared to the earlier period examined by Lo and Mackinlay (1988) © Emerald Group Publishing Limited 2005 New Zealand United States Stock markets Financial reporting Paci c Accounting Review Vol. 17, No. 2, December 2005 53 A Variance-Ratio Test...