Mr Weldon told APNZ he was not leaving the NZX to take up politics but until the Tamaki selection is completed, speculation will remain.
National had already selected its electorate candidates and ranked its list but that was before ailing Tamaki MP Allan Peachey announced he would not contest next month's election.
Mr Peachey cited concerns that his health could mean he might not be able to complete another three-year term.
The 61-year-old, who has suffered several health scares since he was elected to the historically strong National seat in 2005, refused to comment directly to the New Zealand Herald on his medical status, which has been the subject of rumours recently.
Mr Weldon and Mr Key have worked closely in the past and Mr Key appointed the NZX boss to lead the Christchurch earthquake appeal.
Speculation then was that Mr Weldon had political aspirations.
Tamaki nominations opened yesterday and close on October 14. Selection will take place on October 25.
NZX chairman Andrew Harmos said yesterday that Mr Weldon had effectively been the founder, as well as leader, of the NZX since 2002.
Under his stewardship, NZX had grown from a small and threatened mutual exchange to a thriving information, markets and infrastructure business with a range of integrated business lines, a healthy balance sheet and a valuable set of options for future growth.
"Following the successful execution of NZX's second five-year strategic plan, Mark has indicated that the time is now right for him to leave the company."
Forsyth Barr broker Peter Young and Craigs Investment Partners broker Chris Timms both praised Mr Weldon for the work he had carried out during his 10 years at the head of the NZX.
During his leadership, the organisation had grown from having revenue of $10.4 million and a loss of $500,000, no dividends and a valuation conducted at $15 million, to its current position of an operating profit approaching $30 million, dividends of $17.24 million and a market capitalisation of about $288 million.
By the eighth anniversary of its listing, NZX had generated a return to shareholders of 24% per annum, or a total return of 535%.
Mr Young said Mr Weldon had substantially diversified NZX into agricultural and energy markets, information, developed and sold a carbon registry for a large profit and also made a good profit on investment in the BESA bond exchange in South Africa.
"He has also replaced NZX's main systems, setting up a new trading platform and a clearing house, and is building a derivatives business. This is a very impressive list of achievements," Mr Young said.
Mr Timms described the announcement as a "bolt out of the blue" saying there had been no speculation before Mr Weldon's statement.
Mr Weldon had weathered a tough last five or six years, but had made a lot of changes for the better.
"He has made a lot of changes and brought a more up-to-date focus to the market.
"Mark Weldon has successfully changed the NZX from what it was when he arrived to what we have now. He may not have achieved all he wanted from the business but that comes down to the last five years.
"I would think he would be reasonably comfortable with the way things have gone."
Ten years in that sort of position was a long time in business terms, Mr Timms said.
Sometimes, it was good to go and let the next chief executive build on the strong foundations that had been established.
In a statement, Mr Weldon said he had been privileged to have the opportunity to lead NZX.
"Although it's been a very tough decision to leave, I know it's the right time. The organisation is in such good shape, with momentum building that will provide a positive working environment for the next chief executive officer."
New Zealand Shareholders' Association corporate liaison Des Hunt said the investor group's relationship with Mr Weldon had been strained at times during the early period of his tenure at the NZX, but had improved over the years.
Asked how he would rate his performance, he said: "I think I'd give it a seven out of 10."
Mr Hunt said it was disappointing there was no immediate obvious successor within the company to replace Mr Weldon.
NZX shares traded unchanged at $2.36 each.
