3. 台指期貨與摩台指期貨之個別合約價格波動性之檢測，在到期前二天就已有合約有異常的價格波動性，且很少有合約會在到期日、到期前一日及到期前二日都有顯著的價格波動產生；此外也不會整個交易日都有價格的異常波動性產生，而是可能集中發生在開盤頭一小時或是收盤前一小時而已。 This paper analyzes the impacts of the maturity of Taiwan Index Futures and MSCI Taiwan Futures to the spot prices. The statistic method used here are t-test and F-test, which are also used by Chow, Haynes & Zhang (2003). In addition, price reversal model introduced by Stoll & Whaley (1987) is used to observe the impacts. Important findings are summarized as follows: 1. There are abnormal returns for both Taiwan Index Futures contracts and MSCI Taiwan Futures two days prior to the maturity but not on the expiration day. Also, both index futures put downward press on the spot prices at maturity of the contracts. 2. Price reversal occurs on the spot market two days prior to he expiration of Taiwan Index Futures. We find the significant reversal effect after the exchange alters the rule for determining settlement price. But no significant price-reversed occurs during the three-day expiration period of MSCI Taiwan index futures. 3. When focusing on the price volatility of individual contract, some contracts show extraordinary volatility two days prior to the maturity. However, abnormal variation mostly occurs in the first hour of the opening or the last hour of the closing surrounding contract expiration. Abnormal variation does not span the entire two-day range of expiration period.