A measurement of the extent of market imperfections between markets and applications

This study estimates the size and value of unpaid family caretaking activities at a European level. While at a country level several studies are available, a comprehensive evaluation for Europe as a whole was missing so far, mainly due to data limitations. This article fills this gap using a method that merges the information of the European Survey of Income and Living Conditions (EU-SILC) with the Harmonised European Time Use Surveys (HETUS). Monetary values of unpaid family domestic work and unpaid family childcare work are obtained applying both the opportunity cost and the market replacement approaches. For Europe as a whole, the total value of these activities ranges between 17% and 31.6% of the EU Gross Domestic Product (GDP), depending on the applied methodology. The national values of these activities are discussed and an interpretation of the country and gender differentials in family caretaking costs is given in terms of differences in culture, economic development and welfare state.     

Price Expectation and the Pricing of Stock Index Futures

Capital markets are not perfect or frictionless, and arbitrage mechanism cannot be complete, particularly for index arbitrage. This study constructs a theoretical foundation to explain why the price expectation of the underlying asset should be entered into the pricing formula of stock index futures. The price expectation and incompleteness of arbitrage then are taken into account to develop a pricing model of stock index futures in imperfect markets. This study also presents three approaches for estimating the model parameter. Finally, the concept of the degree of market imperfection is defined and the valuation model is provided.