Abstract: Based on the VAR-BEKK-GARCH model， this paper tests the price leading and volatility spillover effect of the three stock index futures in China's A-share market during the great turbulent period in 2015. The test results show that during the turbulent period， the price leading effect of the CSE 500 index futures is significantly stronger than that of the CSI 300 index futures and the SSE 50 index futures， while its volatility spillover effect is significantly weaker than that of the CSI 300 index futures and the SSE 50 index futures. That is to say， the price leading mechanism of the stock index futures can improve the information efficiency and reduce the volatility of China' stock market. The test results are still robust after the “unbinding” of China' stock index futures. In view of the differences the weighted stocks of CSI 300， SSE 500 and CSE 500， the conclusions will provide reference for the differentiated supervision and the design of new contracts China's stock index futures.

Key words: stock index futures, price leading, volatility spillover