The New Zealand Exchange is to review the compilation of its market indexes after a debacle over the place of Allied Farmers in the Top 50 list. NZX admitted that their calculation methods needed attention.

The Securities Commission is investigating the trading of Allied Farmers shares after a decision by NZX to select a few finance companies in the top 50 index.

The company’s share price leapt more than 10% as institutional investors sought to weight their portfolios with Allied stock.

NZX told institutional investors that Allied Farmers would be promoted to the NZX-50.

As the existing agencies fail to protect investors from finance companies' collapses, Government is investigating the idea of merging the Companies Office, Securities Commission, and the NZX Disciplinary Tribunal into a new market conduct regulator.

New Zealand Shareholders Association Chairman Bruce Sheppard said the case had put the issue of price-sensitive information being sold in sharp relief and he had written to the NZX Chairman Andrew Harmos about it.

Allied Farmers' Chief Executive Rob Alloway said information which was material to security should not be included in a subscriber service unless it was also distributed publicly.

Allied Farmers shares closed down 0.5c to 10.5c while NZX shares closed down 1c on $2.03.