本文应用向量自回归模型(VAR),Johansen多元协整检验及方差分解对我国金属铜的股票价格、现货价格和期货价格三者之间关系进行实证分析。研究表明:三者之间存在长期均衡关系;期货价格具有良好的价格发现功能,股票价格具有较强的独立性;对投资者而言,期货价格走势可视为现货市场价格走势的重要信息,但不能将其作为股票投资的依据。 In this paper, we use the vector autoregressive (VAR), Johansen multiple cointegration test and variance decomposition empirical analysis of the relationship between China’s copper metal stock price, spot price and futures price. The research shows that: there is a long-term equilibrium relationship among the three; the futures price has a good price discovery function and the stock price has strong independence; for the investors, the futures price trend can be regarded as the important information of the spot market price trend, But not as a basis for stock investment.