NZX50: Increased Investibility and Price Pressure on Additions and Deletions

Nick Mcverry, The University of Waikato
Ed Vos, The University of Waikato

Abstract: By examining additions and deletions to the NZX50 index since its inception in 2003 we show that the stated objective of the change in index, to ‘increase investibility’, seems to have been achieved. We observe increased price pressure, compared to changes to the NZSE 40 index. This pressure seems sustained for additions, contrary to the expectations of an efficient market. Sustained higher trading volume for additions supports the price pressure hypothesis.