Capital markets are not perfect or frictionless. In fact, there exist imperfections in the real markets. Several researchers (e.g., Bailey, 1989, Brailsford and Cusack, 1997, Gay and Jung, 1999, Fung and Draper, 1999, and Wang and Hsu, 2006) have found that market imperfections do affect pricing and arbitrage of stock index futures. This paper employs ex-post test of arbitrage, ex-ante test of arbitrage, and regression analysis of the change in profitability to examine whether the arbitrage profit is greater during the bear-market period with higher degree of imperfection than during the bull-market period. We also examine whether the arbitrage profit is greater after short sales restrictions. The empirical evidence is based on the Singapore Exchange Derivatives Trading Limited (SGX-DT) MSCI Taiwan stock index futures contract. 5-minute intraday transactions data is used. The study finds that the long-hedge arbitrage (that is, short stock, long futures) is more difficult during the bear-market period. Hence the arbitrage profitability is larger during the bear-market period. Moreover, short sales restrictions increase the difficulty associated with long-hedge arbitrage. Consequently, the adjustment to equilibrium prices is slower so that arbitrage profitability increases after the short sales restrictions.