This paper investigates the price discovery role between spot and futures markets for Taiwan Stock Index that traded on TAIFEX and SGX-DT. The cointegration test and Error correction model are used to examine the lead-lag relationships between these four markets. In addition, TAIFEX reduced transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. We empirically test the differences in information transmissions between TAIFEX and SGX-DT for the sample period, both before and after the tax reduction. The results show that among the futures, the SGX-DT exhibits price leadership over the TAIFEX futures, among the spot market, the SGX-DT also leads. The reduction in market frictions such as taxes has a great impact on the information transmissions. The price discovery role of TAIFEXA futures improved significantly after the tax reduction on TAIFEX.