This　paper　investigates　the　impact　of　the　government　temporary　storage　policy　on　the　price　interactions　between　the　cotton　spot　and　futures　markets.　We　divide　the　sample　into　three　periods　according　to　the　implementation　and　the　abolishment　of　the　temporary　storage　policy.　The　empirical　evidence　indicates　that　the　policy　weakens　the　pricing　function　of　the　futures　market.　The　tests　based　on　VAR　model　show　that　(1)　The　temporary　storage　policy　reduces　the　price　reactions　in　the　spot　(futures)　market　to　the　information　shock　from　its　own;　(2)　The　policy　decreases　the　effect　of　the　futures　market　on　the　spot　market　and　changes　the　direction　of　the　influence　of　the　spot　market　on　the　futures　market;　(3)　There　is　a　long-term　equilibrium　between　the　prices　in　the　futures　market　and　spot　market.　(4)　When　investors　are　more　heterogeneous　in　their　beliefs,　the　impacts　of　the　futures　market　on　the　spot　market　are　enhanced.　©　2019　IEEE.