It is still an unanswered question how much trading activity is needed for efficient price discovery in commodity futures markets. For this purpose, we investigate the price discovery process of two thinly traded agricultural futures contracts traded at the European Exchange in Frankfurt. Our empirical results show that the trading volume threshold which is necessary to facilitate efficient price discovery is very low. As our findings are based on constant and time‐varying vector error correction models, we also show that neglecting time‐variation in the parameters can lead to misleading results. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:851–869, 2016