Abstract: The ensuing incidents of“8.16 Everbright's Fat Finger Events”,“5.28 Stock Market Dramatically Dropping Event”and“5.6 Thousands of Shares Limited-down Events”heavily proclaimed the careless omission of the legal system for macro prudential supervision of China's stock index futures and stock spot cross market transactions. According to the basic principles of risk responsive financial law, the macro prudential supervision for the cross market transactions must respond to the basic needs of systematic risk management and cross market coordination and stability. Therefore, the government should grant the decision-making power of macro prudential supervision to the Council for Financial Stability and Development of the State Council (CFSDSC), grant the executive power of macro prudential supervision to People's Bank of China, keep the limit up or down system for individual stocks and establish the circuit breaker mechanism for cross market transactions, establish a legal system for cross market transaction sharing supervision and liquidity management, as well as a legal system for the supervision of key trading behaviors of important institutional investors, and formulate the“Futures Law”to guide the basic legal system for macro prudential supervision.

Key words: stock index futures, cross market transactions, macro prudential supervision, circuit breaker, futures law