This paper uses cointegration test and error-correction model to test the long run equilibrium between the Taiwan 50 index, index futures and ETF, and price discovery process as well. The conclusion can be summarized as follows: (1) Taiwan 50 index, index futures and ETF exist cointegration relationship and long run equilibrium. (2) Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the index futures and ETF market, but not in the Taiwan 50 index. Results indicate that the Taiwan 50 index has better function in price discovery process. (3) By Granger causality model, Taiwan 50 index and ETF are only one-directional relationship. (4) In impulse response function, Taiwan 50 index has more innovation effects than the index futures and ETF.