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

Table 6

Unit root test of sequence VPIN for IH dominant contract.

	t-statistic	Prob.
Augmented Dickey–Fuller test statistic	−5.794114	0.0000
Test critical values
1% level	−3.431668
5% level	−2.862007
10% level	−2.567062