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

Table 11

Rotation component matrix.

Contract	Component
	1	2
IF
Z-score (VPIN)	0.143	0.670
Z-score (dep)	0.876	0.172
Z-score (qsi)	−0.784	0.505
Z-score (sli)	0.948	0.086
Z-score (std)	0.015	0.777
IC
Z-score (VPIN)	0.046	0.786
Z-score (dep)	0.924	0.200
Z-score (qsi)	−0.789	0.503
Z-score (sli)	0.918	0.105
Z-score (std)	0.153	0.734
IH
Z-score (VPIN)	0.432	0.601
Z-score (dep)	0.927	−0.010
Z-score (qsi)	−0.849	0.524
Z-score (sli)	0.917	−0.081
Z-score (std)	−0.221	0.890