Capital markets are imperfect. Market imperfections differ among markets. This study uses a theoretical valuation model derived by Hsu and Wang (2004) to estimate the degrees of market imperfection for mature and immature markets, and tests the applicability of the model. Moreover, this study...

The degree of market imperfections has important implications for the behaviour of stock index futures. This work extends the evidence regarding the degree of market imperfections in three ways. First, this work represents the first attempt to compare the market imperfections of four Asian index...