Price volatility spillovers among China’s crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher interaction among crude oil, corn and fuel ethanol markets after September, 2008. In the overall sample period, the results simultaneously provide strong evidence that there exist unidirectional spillover effects from the crude oil market to the corn and fuel ethanol markets, and double-directional spillovers between the corn market and the fuel ethanol market. However, the spillover effects from the corn and fuel ethanol markets to the crude oil market are not significant. •Employing univariate EGARCH model and BEKK-MVGARCH model, respectively. Unidirectional spillover effects from crude oil market to corn and fuel ethanol markets.•Double-directional spillovers between corn market and fuel ethanol market.•The spillover effects from corn and fuel ethanol markets to crude oil market are not significant.•The empirical results indicate a higher interaction among crude oil, corn and fuel ethanol markets after September, 2008.