Impact of the Adjustment of Maximum Order Volume on Pricing Efficiency of Stock Index Futures in China

Table 14

Rotation component matrix.

	Component
	1	2
Z-score (std)	0.951	−0.126
Z-score (sli)	−0.786	0.575
Z-score (qsi)	0.947	−0.094
Z-score (dep)	−0.117	0.981
Z-score (VPIN)	−0.769	0.520