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This paper examines the cointegration of wheat market prices in Northern Bangladesh. Results are based on weekly wholesale price data on wheat collected from the Department of Agricultural Marketing (DAM) in eight markets in the Rangpur division of Northern Bangladesh. The data has 208 observations for wheat in each of the eight markets ranging over a period of January 2006 to December 2009. Johansen’s cointegration test reveals that most of the wholesale markets of wheat in the Rangpur division are co-integrated which indicates that price signals and information are transmitted smoothly across the markets. The discovery of the market integration appears to be quite significant for the success of price policy and market liberalization programs which are being undertaken in Bangladesh.