By selecting 1421 set data such as Shanghai and Shenzhen 300 stock index futures during April, 2010February, 2016, spot price, Hang Seng Index, by using the methods such as Granger causality test, VECM and so on, their interactive influence is analyzed. The results show that Shanghai and Shenzhen 300 stock index futures has bigger negative impact on the growth of Hang Seng index, that the growth of Shanghai and Shenzhen 300 index plays positive guiding role in Hang Seng index, that the impulsive responses of Shanghai and Shenzhen 300 stock index futures and the spot price to Hang Seng index are all positive and reach the peak in the first stage and the second stage respectively. Variance decomposition finds that the contribution of Shanghai and Shenzhen 300 index is 65% while the contribution of Hang Seng index is 30% approximately after the second stage.