This paper examines the relation between past performance and discount (premium) of closed-end funds in China from August 17th 2000 to August 16th 2002. The empirical result shows that premiums do not relate performance during first sub-period, and relate performance faintly during next, and relate performance significantly during the third. The result reflects the rationalization of Chinese investors,which will promote funds managers' incentive mechanism and have some important implication for fund industry development in China.