The Financial Markets Authority is questioning the NZX about potential breaches of its own rules for disclosing information on time.
The issue has been sparked by contrasting comments made by the NZX about the performance of its grain exchange business.
NZX purchased the Clear Grain Exchange in 2009, but now it's taking legal action against the former owners, claiming breach of warranty for the $6.4 million deal.
It says the amount of grain traded on the exchange has not met the agreed targets.
NZX chief executive Mark Weldon reportedly made comments about the poor performance of the grain exchange last May.
But in its last annual report, NZX that noted trading momentum in the grain exchange had gathered pace.
That has atttracted the attention of the Financial Markets Authority, which is questioning NZX about the comments.
The FMA will not comment further, until it learns the conclusions of NZX's own inquiry, which could be early next week.
NZX will not comment on the matter.
Shares in NZX fell 5 cents on Friday, to $2.30.
Radio New Zealand's business editor says failing to disclose information in a timely manner is frowned upon, as it may give investors a false impression of the company.
While it is a listed company, NZX is also a regulator of the listing rules, which require firms to meet continuous disclosure rules.
So, it's embarrassing that the Financial Markets Authority is querying the stock exchange operator about whether it may have been in breach of its own rules.