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 price-sensitive information to investors. We follow the methodology employed by Helfin et al. (2003) to test the impact of Regulation FD in the US. Our results show that under New Zealand's continuous disclosure regime analysts' earnings forecast errors did not decline but that analysts' forecasts showed less dispersion in the post-reform period. In respect of informational efficiency, we find a smaller abnormal return around the annual earnings announcement date in the post-reform period for small companies. Our results suggest that the reforms have improved the flow of information to investors, consistent with the intent of the reform.

The present paper examines the impact of the Corporations Law Reform Act 1994 on information-based trading in Australian Stock Exchange-listed stocks. Results show that information-based trading is higher in the post-reform period, particularly for lower capitalization stocks. Further analysis shows that this is caused by a fall in turnover and rise in the number of slow trading days. After controlling for these factors, the reform is found to have no impact on information-based trading. Interestingly, the volume of price-sensitive disclosures is found to have no impact on either the level of information-based trading or market spreads.

We examine the price query system used by the NZX to monitor compliance with its continuous disclosure regime. We focus on the proposition that "unexplained" price movements detected by the NZX's surveillance systems reflect speculative trading. Examining a sample of price queries where the companies responded with a "no news" announcement, we find evidence of significant abnormal returns immediately prior to the price query and smaller but significant partial reversal of abnormal returns immediately following the "no news" response. We interpret the absence of a full reversal to indicate that prices are based on information-based trading rather than speculative trading.

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 flows are bidirectional, although the futures market dominates the information flow over the very short term. Thus, the futures market remains the primary locus of price discovery despite the increased use of swaps as a pricing benchmark and hedging instrument in recent years. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:981–1001, 2007

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 share declines sharply when returns are computed from a mixture of GLOBEX transaction prices and Reuters D3000 midquotes. This helps explain why prior studies using this latter methodology report relatively low information shares for GLOBEX in the yen/dollar market. Variations in GLOBEX's information share on an intraday basis can be explained by variations in relative liquidity, spreads and price volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:590–606, 2010