Hello Yi Dong,
You can use the Structure for JIRA add-on to perform this operation, as you can see in the answer below:
Dear @Yi Dong,
another way, without plugins, is to import your csv file with a couple of simple script that make use of the REST API. There you can create issues with parent/epic relations.
Of cause this will require little coding skills in one of the scripting languages like PHP, python or perl.
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