[R-SIG-Finance] How to find lead-lag relation in two time series?

[Michael Jungle]

One possibility is to do the cross-correlation. 

What series shall I apply cross-correlation to? Price or return series?

If I do cross-correlation on two price series, and found some large
correlation numbers,

and then do cross-correlation on two return series, and found no significant
numbers(almost zero), 

What does that mean?
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