Retail investors, COVID and the quality of the New Zealand Stock Exchange

Aaron Gilbert and Alireza Tourani-Rad

Australian Journal of Management, 2025, vol. 50, issue 4, 1104-1128

Abstract: In this article, we investigate the impact of the influx of retail investors during the COVID-19 lockdowns on the New Zealand Stock Exchange on the efficiency of the market. On one hand, these investors bring added liquidity to the market, which generally improves market efficiency, and on the other hand, many of these investors were inexperienced retail traders who are often viewed as noise traders harming market efficiency. This natural experiment allows us to investigate the impact of retail investors. Using a sample of 99 New Zealand Exchange listed companies, we collect intraday price and quote data from 1 January 2019 to 24 March 2021. We compute a range of market quality measures across three categories: trading costs, price efficiency and speed of information incorporation. Our results clearly indicate that the influx of retail investors has reduced market quality; in particular, we observe more price predictability and information being impounded into prices more slowly. JEL Classification: C10, G14, G20

Keywords: COVID-19; efficiency; market quality; retail investors; volatility (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/03128962241246675 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:50:y:2025:i:4:p:1104-1128

DOI: 10.1177/03128962241246675

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().