In this study, we investigate the relathionship between spot and implied futures exchange rate between U>S Dollar (USD) and new Taiwan Dollar (NTD), We are the first to discruss such relationship because only the characteristics of (NTD) gold futures (TGF) and USD gold futures (GDF) traded on the Taiwan futures exchange (TAIFEX) allow us to do so. Thus, we not only contribute on understanding of price discovery in financial markets, but also on market efficiency and market mechanism through the unique futures contracts on the TAIFEX . The unit root tests confirm that spot exchange rate and more influences implied exchange rate. we calculate the information shares (Hasbrouck) (16) for spot exchange rate are higher than those for implied exchange rate, Moreover, the multivariate regression analysis demonstrates similar results. The implications of our empirical results indicate the importance of markets makers in less mature markets.