This study examined the market which reacts first in Rajasthan by assessing the relationship between spot and future prices of pearl millet for a period from July 2015-16 to June 2020-21 traded in NCDEX. This paper tests the extent of market co- integration of prices of pearl millet and cluster bean among major markets of Rajasthan by using Johansen co-integration test, Granger Causality test and also captures the speed of adjustment to deviations in long run equilibrium in both crops markets by using Vector Error Correction Model. The futures and spot market prices of pearl millet in Rajasthan exhibited a significant positive co-movement in general. The Johansen’s co-integration test revealed that the futures and spot markets of cluster bean were integrated, and that of pearl millet were not integrated. There also exists a strong information flow between other markets of selected crop under study, and the price transmission was effective. To get the additional evidence as to whether and in which direction price transmission is occurring between the market pairs, Granger causality test has been used, which has confirmed futures to be the price-determining market.