Although both CBOT and TGE corn futures prices are non-stationary in levels, Johansen cointegration test shows that the two series are cointegrated, suggesting that there exists a long-run equilibrium relationship between CBOT and TGE corn futures. In addition, a Granger causality test shows the evidence of a long-run causal relationship between CBOT and TGE corn futures prices. In the short run, the CBOT corn futures have a strong causal effect on the TGE corn futures, whereas the TGE corn futures have a rather weak causal effect on the CBOT corn futures. A bivariate GARCH model (BEKK model) was estimated to examine the volatility spillover effects. There exists a feedback between the DBOT and TGE volatilities. The two markets trading the same commodity are well linked as expected.