The article examines issues in stock index futures trading in Malaysia. They looked at volatility, pricing efficiency, patterns, and lead-lag relationships. Using data from stock and futures markets, they found that futures introduction did not increase underlying market volatility. Futures had higher volatility compared to stocks. Mispricing was common, mostly underpricing. Transaction costs reduced mispricing. Intraday data showed a U-shape in futures volume and volatility, with a peak after lunch break. Both markets reacted simultaneously to new information, rather than one leading the other.