In this paper we examine the influence of hedge and arbitrage on the holding returns of index futures. We found that he holding returns of the TAIEX and Electronics Sector Index futures over non-trading effect tends to be higher than those over trading periods which is known as the non-trading effect. Especially, for the case of Electronics Sector Index, the non-trading effect tends to be higher when the VIX index is relatively high, which implies that the non-trading effect is caused by the demand for hedging. On the other hand, for the case of Finance Sector Index futures, it is found that the non-trading effect becomes lower when the futures index is higher than the spot index. The result shows that the non-trading effect could be also driven by the demand for arbitrage.