This paper examines the price discovery function for three U.S. wheat futures markets: the Chicago Board of Trade, Kansas City Board of Trade, and Minneapolis Grain Exchange. The maintained hypothesis is that futures markets search more for information than cash markets to find an equilibrium price, thus greatly improving the price discovery function. The tests reveal the existence of one equilibrium price across the three futures markets in the long run, but no cointegration among prices in the three representative cash markets.