Causal analysis would be difficult if the time series of non-stationarity process. Non-stationarity theory and vector error correction model can be used for this type of the problem. Multi-cointegration and causal relationship were introduced. The multi-cointegration among Aluminum Futures, Aluminum spots and oxide-Al at Shanghai Metal Exchange were studied by the above models. The results showed that the three price series followed the multi-cointegration relationship by the VAR model. The casual relationship among the three prices series were proposed.