Abstract of thesis entitled “Should the Stock Index Futures Be Blamed for the Stock Market Decline in China? An Analysis of the Lead-lag Relationship between the Two Markets”, submitted by Gao, Meng (M-B1-5641-0) for the degree of the Master of Social Science at the University of Macau in May 2013. After being launched in April 26th, 2010, the stock index futures market in China has attracted more and more attentions. It is thought that the Chinese stock index futures market has a great influence on the stock market and the stock market decline in recent years might be caused by it. This thesis investigated the data of HuShen300 index and stock index futures contract Index Future1303 and revealed the Lead-lag relationship between the two markets in China. The empirical results suggest that the future price and the spot price affect each other. The empirical results also show that the impact of the future price to the spot price is much stronger and will last longer. Due to some special policies, the long contracts are outnumbered by the short contracts in the stock index futures market in China, and the domination of the short selling will bring down the future price. According to the empirical findings, as the future price decreases, the spot price falls too. Therefore, the government should take some measures to balance the number of the short contracts and the long contracts so that the stock market and the stock index futures market can play a better role in China. Keywords: stock index future; future price; spot price; Lead-lag relationship; China