Based on wavelet analysis,the relationship between the CSI 300 index and the stock index future was investigated by using 5 minutes high frequency data.Through decomposing the return rate series of the two markets,it is found that the volatility of the stock index future market is greater than the volatility of the stock market in all the scales,and with the increase of the scale,the wavelet correlation coefficient of the two markets increases,that means,they change with a linkage character.The Granger causality test shows that there is volatility spillover effect between the two markets,but the spillover effect goes in one direction only,that is,there only exists future market to stock market spillover effect.