To know about the pricing process in agricultural spot and futures markets is important for every market participant. However, literature for the European market is rare. In this article we analyse price discovery in the European wheat market and focus especially on time periods with price turmoil. We find that price discovery is subject to structural changes over time and that the pattern of dominance in the pricing process alternates between the spot and futures market. Results suggest that neither price turmoil nor a change in the liquidity of the futures market is solely responsible for these structural changes.