The purpose of this paper is to investigate the relationship between US and Canadian wheat futures prices in order to analyse the degree of information spillover between the futures exchanges of both countries. Although considerable research has focused on the relationship between US and Canadian equity markets, little work has been conducted on their respective future markets. The increase in market-oriented trade agreements and the decrease of governmental presence in the agricultural sector adds to the importance and timeliness of such a study. The results show that both the US and Canadian wheat futures prices are an integrated series of order one, and that the two series are cointegrated. Although the evidence shows an equilibrium relationship in the long run, short-run dynamics exhibit no such dependencies. These results are relevant for various market participants, including farmers, grain merchants, speculators, exchanges, and regulatory agencies.