The market for HS300 equity index comprises index futures and various ETFs which are growing rapidly．This paper explores the impact of multi-market trading on the price discovery process of HS300 index．We find that: The index futures contribute the most to price discovery，followed by the Huatai Bairui ETF which allows a cash redemption．Jiashi ETF (which allows in-kind redemption only) contributes the least to price discovery，which is not consistent with our intuition．Furthermore，we show that volatility，instead of liquidity，as would be conjectured by the transaction-costs hypothesis，is the driving factor for relative price leadership between the index futures market and ETF markets．Finally，some advice which helps improve the multi-level index in China Securities Market has been suggested according to the research conclusion．