This article adopt ¡¨nonlinear cointegrating regression¡¨ model, which was published by Bae and DE Jong in 2007, to conduct related empirical research on one of the pricing theories of futures-Cost of carry theory. Since cost of carry theory is based on the assumption that the market belongs to ¡¨perfect market¡¨, the test for cost of carry theory is accompanied by the test of the efficiency of the market. This article takes Taiwan Stock Exchange Capitalization Weighted Stock Index ¡BTaiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Finance Sector Index as our researching target and the final result exhibits that the cost of carry theory is mostly significant in the future market of Taiwan .