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

Table 2

Characteristics of LOB for IC, IF, and IH contracts before and after the event.

Contract	The number of orders		Order volume		Depth		Slope		Spread		Volatility
	Before the event	After the event	Before the event	After the event	Before the event	After the event	Before the event	After the event	Before the event	After the event	Before the event	After the event
IC1704	142	135	217	204	120182	114784	12422	10892	1.925	2.095	6.63	7.28
IC1705	9	35	10	47	74836	96460	2686	5269	6.65	4.621	7.38	8.60
IC1706	11	20	13	24	46356	88160	1955	4100	2.707	5.922	4.18	8.85
IC1709	9	8	10	9	77381	82361	2372	2351	7.881	8.729	7.70	8.90
IF1704	185	176	313	290	94594	91945	11950	11330	1.376	1.442	5.48	5.58
IF1705	10	45	13	61	55426	58687	2541	5282	5.725	3.537	7.78	7.74
IF1706	24	25	30	31	51916	52458	3753	4345	3.925	3.819	7.31	7.58
IF1709	11	12	12	13	44335	44726	2051	2490	6.123	5.576	8.31	8.12
IH1704	89	91	131	129	58998	51845	7156	6099	2.001	2.112	6.25	6.89
IH1705	6	28	7	35	35533	36925	1802	3093	6.524	4.03	7.21	8.26
IH1706	11	13	13	15	29228	33226	2015	1926	4.851	5.115	7.38	7.99
IH1709	6	5	6	6	24355	29500	772	1206	7.437	6.915	8.49	7.87