“…1989;Chan, Fong, and Stulz, 1994;Diltz and Ting, 1992;Edwards, 1993;Fry, Lcc, and Choi, 1994;Garbade and Silber, 1979;Howe and Kelm, 1987;Howe and Madura, 1990;Jaydraman, Shastri, and Tandon, 1993;Kleidon and Werner. 1993;Lau, Diltz, and Apilado, 1994; Lee, 1991Lee, , 1992 Makhija and Nachtmann, 1990;Neumark, Tinsley, and Tosini, 1991;Pagano, 1989;Pagano and Roell, 1990;Ripley, 1975;Roell, 1992;Saudagaran, 1988;Stapleton and Subrahmanyarn, 1977; Varela and Lee, 1993;and Yagil and Forshner, I99 1. Even though index futures in different countries may be based on the same index, they usually differ in a number of respects, and therefore, are not perfect substitutes. For example, the countries may be in different time zones.…”