This work examines whether the expiration-day effect of derivativesí trading exists in the Taiwanese stock market. The empirical results indicate that the futuresí volatility does not increase steadily as the expiration-day approaches, but only in the three days before this date. Further, the stock volatility decreases after the opening of the options market. Next, while the trading volumes increase after the opening of options trading, the variations in them decrease significantly. Finally, significant price reversal exists in both the stock and futures markets, but not in the options market.