The New Zealand implied volatility indexFootnote∗

We would like to thank the two anonymous referees and the editor for their helpful and constructive comments, and the Securities Industry Research Centre of Asia‐Pacific Ltd (SIRCA) for providing the data.

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• Corresponding author. Department of Finance, Faculty of Business, Auckland University of Technology, Private Bag 92006, Auckland 1142, New Zealand, Tel.: +64 9 921 9999; Fax: +64 9 921 9629; Email: [email protected].
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• Nijmegen School of Management, Radboud University Nijmegen, The Netherlands
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• Department of Finance, Faculty of Business, Auckland University of Technology, New Zealand
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