The temporal relation between stock Index and Index futures has been and continues to be of interest to regulators, academicians and practitioners alike for a number of reasons such as market efficiency, volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not exist as prices adjust instantaneously and fully to new information. Hence, new information disseminating into the market place should be immediately reflected in spot and futures prices by triggering trading activity in one or both markets simultaneously so that there should be no systematic lagged responses. However, there is yet another reason that futures markets potentially provide an important function of price discovery to help improve efficiency of the market. If so, then futures prices and movements thereof should contain useful information about subsequent spot prices beyond that already embedded in the current spot price.