The leveraged and inverse ETFs, which are gaining the biggest attention from investors among all ETF products in Korea, are required to have rebalancing activities on a daily basis. This paper examines whether or not the rebalancing activities have a significant impact on the market-on-close index returns in the KOSPI 200 & KOSDAQ 150 futures markets. The period for the analysis is from the time when the leveraged & inverse ETFs started to be listed on the Korea Exchange to the end of September, 2018. The total period of time is divided into several different subsample periods for the empirical analysis on how the magnitude of influence is being changed according to the subsample periods. The results of the empirical tests show that the rebalancing demand on t day makes an impact on t day index returns. And, the rebalancing demand on t day starts to influence the index return during morning time on t + 1 day in KOSDAQ 150 futures market, but not in KOSPI 200 futures market. In the same way, the rebalancing demand on t day starts to have an impact on the index volatility in KOSDAQ 150 futures market. It is because KOSDAQ 150 futures market is relatively small, the rebalancing demand of leveraged & inverse ETFs can be much more influential.