This study investigates the New Zealand dollar carry trade and its effect on the New Zealand stock market. Using a Vector Autoregression (VAR) model, the Granger causality relationship is from carry trade to stock market. The US dollar, Euro and Swiss Franc dominate carry trade as funding currencies and the New Zealand Dollar as investment currency. There is no evidence of Japanese Yen and New Zealand Dollar carry trade during the sample period of 2007 to 2017. Carry trade returns’ effect on New Zealand stock market sector returns are generally attributed with various degree and preference. The basic materials sector is the only exception, where there is no Granger causality relationship in either direction. It also indicates carry trade returns positively affect the New Zealand stock market in both periods of crisis and post crisis. However, the Granger causality relationship is stronger in crisis period than it is in post crisis period.