Abstract: Based on the data of the daily closing price of Shanghai and Shenzhen stock index futures and the industry indexes of CSI ALL Share Index, lead-lag relationship between the stock index futures and spot prices of different industries were investigated by using VAR model，Granger causality test and impulse response function. Empirical results showed that the unidirectional causality was significantly evident between stock index futures and the industry indexes, but it varied a lot across industries.