index

contract

stationarity test

autocorrelation test

ARCH effect test

index

contract

stationarity test

autocorrelation test

ARCH effect test

logarithmic yield

IC1705

0.01

0.5847

3.55E−05

position

change rate

IC1705

0.01

<2.2E−16

<0.2E−16

IC1706

0.01

0.2688

0.002402

IC1706

0.01

<2.2E−16

1.05E−07

IC1709

0.01

0.000883

7.06E−05

IC1709

0.01

<2.2E−16

0.01792

IC1712

0.01

0.2436

3.11E−12

IC1712

0.01

4.78E−13

2.53E−11

volume

change rate

IC1705

0.01

7.64E−06

0.5234

price fluctuation

IC1705

0.01

2.00E−13

1.57E−10

IC1706

0.01

1.19E−09

0.3437

IC1706

0.01

1.00E−11

8.61E−12

IC1709

0.01

6.23E−11

0.6447

IC1709

0.01

<2.2E−16

<0.2E−16

IC1712

0.01

NA

NA

IC1712

0.01

<2.2E−16

<0.2E−16

spread

April

0.06839

<2.2E−16

<2.2E−16

spread

July

0.4484

<2.2E−16

<0.2E−16