Theoretically, there is a certain causality relationship between warrants and its underlying stocks. This paper tests the causality relationship between the six call warrants of security market and their underlying stocks in Shanghai by using the approach of Granger-causality. The result shows that there is a unilateralism relationship of Granger causality between call warrants and their underlying stocks under the great sample. The price trend of the warrant influences the price trend of its underlying stocks, but there is no remarkable relationship of Granger causality between call warrants and their underlying stocks under the small sample.  The price trend of the warrant and its underlying stocks are independent mutually in short time.