This thesis examines how the Russia–Ukraine war impacted global wheat markets. Using daily futures price data from May 2021 to July 2023 across five major exporters, the United States, Russia, Ukraine, the European Union, and Australia, we first identify structural breaks using the Bai-Perron test. We then estimate Vector Error Correction Models within a segmented dataset and conduct Granger causality analysis to examine predictive relationships between markets. The results show that the global market was relatively integrated before the war, with the U.S. serving as a central benchmark. While the war fractured established pricing relationships, it did not lead to uniform disconnection. Instead, markets adapted through phases of insulation and realignment, driven by country-specific factors. Ukraine’s collapse and recovery of influence, Russia’s rise and retreat as a price leader, and the EU’s evolving ties with Ukraine illustrate the complexity of price transmission. These findings highlight the importance of flexible policy response during crisis.