What is the relationship between stock index futures and Shanghai Composite Index? Yes, but not very close. The actual corresponding index of stock index futures is the Shanghai and Shenzhen 300 Index, that is to say, the stocks in the 300 Index are the objects of stock index futures trading, not the Shanghai Composite Index. However, many of the heavyweights in the Shanghai and Shenzhen 300 are in the Shanghai Composite Index, so it has a certain impact on the Shanghai Composite Index.