中文摘要：

当股票现货市场出现猛烈的单边下行行情时，投资者会选择卖出股指期货合约以规避风险，从而将股票现货市场的系统性风险衍生到股指期货市场，股指期货价格超跌引发的指数套利行为又会导致衍生风险的积聚和扩散。通过对亚洲金融危机期间香港恒生股票现货市场和股指期货市场波动效应的检验，阐明了股指期货市场的风险衍生机制，期望为我国沪深300指数期货交易的风险防范提供借鉴。

英文摘要：

When the stock spot market＇s prices fall down fiercely, the investors are used to sell the contracts of stock index futures to transfer the systematic risk, and the ultra fall of stock index futures often initiate index arbitrage. Consequently, the vicious echo triggers the in- teraction between the stock index and its futures. This article is expected to explain the risks deriving mechanism through the empirical test about Hong Kong＇ s Hang Seng Index futures market during the Asian financial crisis, for the recommendations of China＇ s Shanghai and Shenzhen 300 index futures＇ risk prevention.