本研究以近月及遠月台指期貨、電子期貨、金融期貨於週選擇權上市前後半年的日資料為樣本，探討週選擇權上市後對期貨的影響及上市後星期三有無到期日效應，根據GARCH模型和EGARCH模型的實證結果：(1)週選擇權上市後使期貨的報酬呈現明顯增加，但卻使波動減少。(2)期貨的報酬及波動會受成交量影響而顯著增加，未平倉量則呈現減少。(3)期貨於週選擇權上市後星期三的報酬和上市後非星期三相比，有呈現增加的現象，此結果證明週選擇權上市後星期三期貨會有到期日效應。

This study takes six-month before and after introduction of weekly options as data for nearby and deferred month of TAIEX Futures����Electronic Sector Index Futures and Finance Sector Index Futures. To discuss the effect of Futures when weekly options introduced and find out whether Expiration Effect will happen on Wednesday after introduce. The study was an application of GARCH model and EGARCH model, the conclusion is (1) The payoff increase significantly after the introduction of weekly options but volatility decrease. (2) The payoff and volatility of Futures will be affected by trading volume, it leads to payoff increase significantly, but volatility decrease significantly. (3) The payoff of Futures on Wednesday after introduction of weekly options increase significantly, this result proof it has Expiration effect.