NZX said it was not aware of a link between yesterday's announcement by the Ministry for Primary Industries (MPI) about the threatened contamination of New Zealand baby formula and sharp falls in milk powder futures prices last week.
Before Tuesday's announcement, sharply lower futures prices had been put down to extra supply coming on stream from Fonterra.
The June whole milk contract went from US$3350 a tonne on March 3 to US$2850 a tonne on March 6, a fall of US$500 or 15 per cent.
Over the same days, the September contract went from US$3450 a tonne to US$3000, down US$450 or a fall of 13 per cent.
"Dairy markets appear to have caught early wind of the threat with milk futures prices falling significantly over the last week," ASB Bank said in a commentary.
In a response to a question from the Business Herald, the exchange said: "NZX is not aware of any link between yesterday's announcement by MPI and recent volatility seen in whole milk powder contracts traded on the NZX global dairy derivatives market.
"NZX notes that at the recent GlobalDairyTrade auction - which the futures market settles to - there was an increase of whole milk powder on offer," it said.
"However, as part of NZX's routine surveillance processes, trading ahead of price sensitive announcements will be assessed in detail," the exchange said.
The dairy futures market - which started in October 2010 - is a relatively young market that can be prone to big daily movements due to a lack of liquidity.
ASB said the longer term impact of the 1080 contamination threat would depend on the reaction of consumers.
"Based on previous experience, and if handled well by authorities and dairy companies, the long-term impacts are likely to be small," the bank said.
Federated Farmers and Fonterra said they had received anonymous letters in November.
The letters carried a threat to contaminate infant formula milk unless New Zealand stopped using it for pest control by the end of March.
A criminal investigation began in November, involving up to 36 police staff.