Abstract: This study investigates the long run and short run relationships among selected Asian stock index futures markets namely (Malaysia, Singapore, Taiwan and Hong Kong). Johansen`s cointegration test is used to study the long run relationships. The study found the existence of a long run equilibrium relationship among the four stock index futures markets. Hence, the potential for risk reduction from diversifying across these markets is minimal for investors with long holding periods. However, the error correction term and impulse response analysis revealed that when there is disequilibrium in the short run, the stock index futures series exhibit slow convergence towards the long run equilibrium. This posits that there is avenue for the short-term investors to diversify portfolio risks effectively across these markets. The Taiwan stock index futures market plays the leading role in driving the movements of the other markets towards the long run equilibrium. This posits that the Taiwan stock index futures market can be used to predict the movements of the other three markets (namely, Malaysia, Singapore and Hong Kong).