Disclosed herein is a method of manufacturing inorganic hollow yarns, such as cermets, oxide-non oxide composites, poorly sinterable non-oxides, and the like, at low costs. The method includes preparing a composition comprising a self-propagating high temperature reactant, a polymer and a dispersant, wet-spinning the composition through a spinneret to form wet-spun yarns, washing and drying the wet-spun yarns to form polymer-self propagating high temperature reactant hollow yarns, and heat-treating the polymer-self propagating high temperature reactant hollow yarns to remove a polymeric component from the polymer-self propagating high temperature reactant hollow yarns while inducing self-propagating high temperature reaction of the self-propagating high temperature reactant to form inorganic hollow yarns. The composition comprises 45˜60 wt % of the self-propagating high temperature reactant, 6˜17 wt % of the polymer, 0.1˜4 wt % of the dispersant, and the balance of an organic solvent.