Abstract: Cointegration test indicated that future spot price of bean sequences and future pirce sequences of bean one week,two week,one month,two month,three month prior to the last trading day are instable; future spot price of bean sequences and future pirce sequences of bean one week,two week,one month,two month,three month prior to the last trading day are cointegrated, and the cointagration relations are obvious in one month prior to the last trading day;future price of bean in one month prior to the last trading day very big degree forecasted the changes of future spot price of bean;future price of bean two month,three month prior to the last trading day can not forecast the changes of future spot price of bean;the futures markets efficiency of bean is low two, three month prior to the last trading day.