The spillover effect of copper futures’ return between LME and SHFE is obvious and the spillover index of LME and SHFE is 15.6% and logarithm return rate first order difference is reciprocally Granger causality based on three months futures copper closing price of SHFE and LME from January 5th, 2006 to April 29th, 2010. The spillover index is further analyzed, and the results show that LME has a leading position on the linkage of copper’s price between home and abroad but the spillover index demonstrates the falling trend, which indicates that the pricing autonomy of copper futures of SHFE is gradually increasing. Currently, SHFE can not challenge the central pricing position of LME for global copper, China needs to further increase its power and to strengthen discourse right for international copper pricing. 