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

Table 16

The pricing efficiency of IC, IF, and IH contracts.

Contract	Before the event	After the event
IC1704	0.65	−0.25
IC1705	−0.20	0.39
IC1706	−0.04	0.83
IC1709	−0.20	1.23
IF1704	0.70	−0.76
IF1705	−0.22	−0.37
IF1706	0.03	−0.38
IF1709	−0.32	0.18
IH1704	0.55	−0.89
IH1705	−0.29	−0.36
IH1706	−0.12	−0.06
IH1709	−0.52	0.44
The overall market	0.527	−0.438