Different markets should have different degree of market perfection. For some matured markets, such as S&P 500 index futures market, they should have relatively high degree of market perfection. The purposes of this paper are (1) to provide a theoretical valuation of the degree of market imperfection; and (2) to provide some theoretical hypotheses and empirical tests about the relationship between degree of market imperfection and pricing of stock index futures. According to the theoretical hypotheses and empirical results, we show that the impact of market imperfection on the pricing of stock index futures is tremendous, and cannot be neglected. Thus, investors in different markets should understand the degree of the market imperfections they participated.