Gilbert, AaronTourani-Rad, Alireza2025-11-072025-11-072024-04-27Australian Journal of Management, ISSN: 0312-8962 (Print); 1327-2020 (Online), SAGE Publications. doi: 10.1177/031289622412466750312-89621327-2020http://hdl.handle.net/10292/20076In 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© The Author(s) 2024. This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (https://creativecommons.org/licenses/by-nc/4.0/) which permits non-commercial use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access page (https://us.sagepub.com/en-us/nam/open-access-at-sage).3502 Banking, Finance and Investment35 Commerce, Management, Tourism and Services15 Commerce, Management, Tourism and ServicesCOVID-19efficiencymarket qualityretail investorsvolatilityJournal ArticleOpenAccess10.1177/03128962241246675