Abstract: According to the multifractal detrended fluctuation analysis, an investigation on the time series of returns on the copper and soy bean futures prices in China was done empirically. It was found that the time series of returns on both futures prices are characterized with the leptokurtic especially the multifractality and not distributed normally, thus indicating that a single-scale index is insufficient to describe the commodity futures price fluctuation. Furthermore, the cause of multifractality was analyzed and it was found that most multifractality of the data is due to different long-range correlations for either small or large fluctuation. This correlations result in the price return series to be a biased random walk, i.e. the stock market fails to reach the soft efficiency.