Mr Khashoggi, a Saudi dissident who worked for The Washington Post, died in the Saudi consulate in Turkey on October 2. His body has not been found, but gruesome details of his death have been leaked by Turkish sources.
At a press conference yesterday Saudi Crown Prince Mohammed bin Salman described the murder as a "heinous crime'.
"We will prove to the world that the two governments [Saudi and Turkish] are co-operating to punish any criminal, any culprit and at the end justice will prevail."
Otago academic Prof Bill Harris, who specialises in the Middle East, said Prince bin Salman's promises were "nonsense" and the Saudi Government was "entirely responsible for the murder".
New Zealand, which has embassies in both Riydah in Saudi Arabia and the Turkish city of Ankara, had three considerations: pursuing Saudi accountability, the welfare of its citizens, and looking after its commercial interests, Prof Harris said.
Holding Saudi Arabia accountable for Mr Khashoggi's death was also pragmatic because of the implications of tolerating the precedent of his murder.
Prof Harris said New Zealand should work closely with Europe, including Britain, as well as Canada and Australia, on the security of its citizens, and should also be "proactive among these countries in exploring diplomatic measures and other sanctions".
"We could think in terms of a stronger government statement within a few days, in consultation with our partners.
"If we get confirmation of the revolting murder details ... we should be prepared in advance to offer an immediate reaction."
New Zealand "should press for a joint international-Turkish inquiry with full transparency and maximum urgency".
Prof Bill Harris said the only way Prince bin Salman would be subject to consequences was if there was an upheaval in the Saudi royal family. Although the prince had enemies, he also held a firm grip on security institutions.
A collective Western push for an inquiry and Turkey's own commitment would put pressure on the Saudis.
Internationally, there was speculation about both 33-year-old Prince bin Salman's mental stability and political acumen. It was hard to make sense of what was known so far about the murder in rational terms, Prof Harris said.