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- Publisher
- Emerald Publishing
- Copyright
- Copyright © 2006 Emerald Group Publishing Limited. All rights reserved.
- ISSN
- 0114-0582
- DOI
- 10.1108/01140580610818601
- Publisher site
- See Article on Publisher Site
Abstract
This study investigates the impact of the enhanced continuous disclosure regime introduced in December 2002 on several measures of information risk in NZX‐listed stocks. We employ two microstructure models and an intraday data set to measure information risk in a sample 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.
Journal
Pacific Accounting Review – Emerald Publishing
Published: Mar 1, 2006
Keywords: New Zealand; Stock markets; Disclosure