Electricity future is an effective tool to avoid and transfer the price risk of the spot market. Many countries which had deregulated their power industry to form competitive electricity market have already established electricity future market. Based on the vector auto-regression（VAR） model， the relation between electricity futures and spot prices is studied by econometrics methods， including co-integration test， causality test and variance decomposition. By the empirical research on the Nordic electricity financial market， it can be found that there exits a long-term equilibrium relation between the electricity futures and spot prices， and the causality from the futures market to the spot market is much more significant. The future market plays a leading role in the price discovery.