Based on the basic functions of futures markets, the SVAR model was used to analyze futures market and spot market's response to their respective impulse factors. The results show that futures market has active and effective impacts on spot market, while spot market is negative and weak to futures market. Variance decomposition of the two markets' reaction to the price fluctuations indicates that 94% of the variance derives from itself and 6% from the spot market. When spot market reaches strong sustainability, only 10% comes from itself and 90% from the futures market. The investigation outcome will provide an important theoretical basis for the selection of arbitrage spot.