This paper investigates the fact that causes expiration-day effect in Taiwan stock market when SGX MSCI Taiwan Index Futures expired. The empirical results show that abnormal volumes and price volatilities exist during the last five-minute intervals when the futures contracts are expired. The frequency of price reversal on expiration days is also higher than that on non-expiration days. Regression analysis suggests that the expiration-day effect cannot be attributed to arbitrage activities. However, the effect can be explained by open interest and negative order imbalance, and the negative order imbalance cannot be ascribed to arbitrage activities. The results imply that manipulators tend to influence the closing prices by submit a significant large order during the last five-minute intervals. Hence, the empirical results support that the expiration-day effect in Taiwan is primarily caused by market manipulation, and the main manipulator is foreign institutions.