This paper analyzes the linkages and information transmission of similar Nikkei stock index futures contracts traded on three international exchanges, the OSE, SIMEX, and CME. Comparisons between the trading and nontrading time variances within individual markets and across markets indicate that relevant information is revealed during the trading hours of the OSE and SIMEX, but not the CME. An approach of variance decomposition and impulse response functions exploring the common stochastic trend in the cointegration system is employed. The common factor is found to be simply driven by the last trading market in the 24-hour trading sequence. Specifically, each market, while it is trading, impounds all the information that will affect other markets, and rides on the common stochastic trend. Granger-causality also runs from the market(s) that is placed in the last trading order within 24 hours in the vector error correction model but this causal relationship is shorter than one day. On balance, the three markets are informationally efficient on a daily basis.