Stock index futures have the function of discovering prices. Through the open and efficient bidding of many investors in the futures market, it is conducive to the formation of stock prices that can better reflect the true value of stocks. The futures market has the function of discovering prices. On the one hand, there are many participants in stock index futures trading, and the price formation contains price expectation information from all parties. On the other hand, stock index futures have the advantages of low transaction cost, high leverage ratio and fast instruction execution. After receiving new market information, investors are more inclined to adjust their positions in the futures market, which also makes the stock index futures price respond to the information faster.