Abstract: This paper analyzed the price discovery relationship between futures market and spot market of non-ferrous metals in China by using the method of panel co-integration. Empirical results have showed long-run equilibrium between the futures prices and spot prices of all three kinds of non-ferrous metal and a precious metal listed in Shanghai Futures Exchange. Also the futures prices have been proved to be the Granger reason for the spot prices. But great difference showed for different commodities. The function of price discovery in the Non-ferrous metals futures market is much stronger than precious metals such as gold futures.