中文摘要：

2010年4月16日我国正式推出了沪深300股指期货，股指期货与现货市场的影响关系成为一个热议的话题．选取股指期货运行一年来沪深300指数和股指期货主力合约的高频数据为样本，通过建立GARCH系列模型、协整检验和VEC模型进行分析，研究我国股指期货与指数现货市场的关系．

英文摘要：

China formally launched the HS300 stock index futures on April 16, 2010. To mid April 2011, it has been in operation for one year. At the same time, the relationship between the stock index futures and spot market and its influence has become a hot topic of discussion. Selecting the high frequency data of the HS300 stock index and the main futures contract in one year as samples, the paper endeavors to probe into the relationship between stock index futures and spot market and its influence in China by virtue of the establishment of a series of GARCH models, co- integration test and VEC model.