I study the role of high‐frequency traders (HFTs) and non‐high‐frequency traders (nHFTs) in transmitting hard price information from the futures market to the stock market using an index arbitrage strategy. Using intraday transaction data with HFT identification, I find that HFTs process hard information faster and trade on it more aggressively than nHFTs. In terms of liquidity supply, HFTs are better at avoiding adverse selection than nHFTs. Consequently, HFTs enhance the linkage between the futures and stock markets, and significantly contribute to information efficiency in the stock market by reducing the delay between the stock and the futures markets.