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

<table class="table-group" id="tab7"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left">Null hypothesis</td><td class="align_center">Obs.</td><td class="align_center"><i>F</i>-statistic</td><td class="align_center">Prob.</td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left"><i>bs</i> is not the Granger cause for <i>VPIN</i></td><td class="align_center">4354</td><td class="align_center">8.74520</td><td class="align_center">0.0002</td></tr><tr><td class="align_left"><i>VPIN</i> is not the Granger cause for <i>bs</i></td><td class="align_left"> </td><td class="align_center">0.49767</td><td class="align_center">0.6080</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Granger causality test results for IH dominant contract.</div>

Discrete Dynamics in Nature and Society

tab7

Table 7

Table 7: Impact of the Adjustment of Maximum Order Volume on Pricing Efficiency of Stock Index Futures in China 