Abstract: This paper discusses non-ferrous metal price fluctuations on the basis of the Shanghai non-ferrous metal price index(SMMI) from January 1, 2009 to July 2, 2010, including aluminum, copper, nickel, lead, tin, zinc and the results show that the linkage between the six major non-ferrous metal prices is a part of the original characteristics of non-ferrous metals market structure, there has really been a long-term stable equilibrium relationship between non-ferrous metals markets price fluctuation of one market will have a significant impact on the other markets with short-lived time delay.