Abstract: With 1-minute high-frequency data of the HuShen 300 index futures, this paper conducts an empirical research on the basis of Vector Error Correction Model (VECM). Using models of Component Share (CS) and Modified Information Share (MIS), we find the HuShen 300 index futures has a great price discovery function in its first half year. The indices of these models are much bigger than those of the foreign countries (CS=60%，MIS=90.62%). Furthermore, we compare the empirical results with those of foreign markets and of simulative HuShen 300 index futures, and conclude that the characteristic of China stock index futures in its first half year has a significant price discovery function. Meanwhile, we also point out that the characteristic may result from the differences between China and other countries in terms of market background, trade mechanism and structure of investors.