The present study aimed to study price movement of gram i.e. seasonal variation, price volatility and co-integration among the major gram markets in Maharashtra. The data related to monthly average prices of gram were collected from major markets of Maharashtra State viz., Akola, Latur, Jalgaon and Washim for the period 2004-2013. Moving average method used to study seasonal variations. The econometric tools like ADF test, Johansen's Multiple Co-integration test, Granger causality test and ARCH-GARCH model were used to study price volatility and cointegration among different markets. The results of study showed that the prices of gram were higher in the month from July to November in all selected markets. The cyclical variation observed in the prices of gram in the selected markets. For all selected markets the price series showed the consequences of unit root and were stationary at first difference. The selected markets show long run equilibrium relationship and co-integration between them. Most of the markets showed bidirectional causality influence on gram prices of each other. Akola, Latur, Jalgaon and Washim market, showed that volatility shocks are not quite persistent in these markets.