This study deals specifically with the international transmission of wheat prices wherein the effect of prices in one market impacts the prices of another. Specifically, it shows that import prices in some countries respond in an asymmetric fashion to changes in the export prices of U.S. wheat. Our results indicate that market concentration in the importing country influences price asymmetry and amount of price variability sends a sufficient clear signal to market participants. We also find that the 2008 financial and food price crisis changed the degree of asymmetry in most of the countries studied in this paper.