Many analysis related to the market integration between international crude palm oil and cooking oil prices in Indonesia have been carried out, but no one has included the olein price variable. This research used monthly data for the period of January 2016 - April 2022 from the Ministry of Trade, Republic Indonesia and the Commodity Futures Trading Regulatory Agency of the Ministry of Trade. The method utilized is Johansen cointegration, Granger Causality, Vector Error Correction Model (VECM), impulse response and variance decomposition. The results show that there is a long-term integration between variables. In the short term, cooking oil prices are influenced by international olein prices, domestic CPO prices, international CPO prices and cooking oil prices one month earlier. Impulse response analysis shows that shocks to international and domestic olein prices have had a major impact on cooking oil prices. This study also found that the effect of international olein prices is greater than international CPO prices and domestic CPO prices. It is advisable to make a policy related to the price of cooking oil by considering domestic and international price of olein.