This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for the lagged grain trading volume and the open interest in the energy and grain markets. According to the results, the conventional view, for which the impacts are from oil to gasoline to ethanol to grains in the energy-grain nexus, does not hold well in the long run because the oil price is influenced by gasoline, soybeans and oil. Moreover, gasoline is preceded by only the oil price, and ethanol is not foreshadowed by any of the prices. However, in the short run, a two-way feedback in both directions exists in all markets. The grain trading volume effect across oil and gasoline is more pronounced in the short-run than in the long-run, satisfying both the overconfidence/disposition and the new information hypotheses across markets. The results for the ethanol open interest show that money flows out of this market in both the short- and long-run, but no results suggest across market inflows or outflows to the other grain markets. (C) 2012 Elsevier B.V. All rights reserved.