This paper selected the high-frequency data of HS 300 index futures and HS 300 in- dex from June 15,2015 to August 26,2015. By using the EG two-step co-integration method, Granger Representation Theorem, Impulse Response Model, the empirical study of stock index futures' market price discovery function as well as volatility spillover effect has been done. The study shows that even in the crash, HS 300 index futures still played an important role of price discovery, and volatility spillovers existed from the futures market to the stock market. The st...