This paper examines the impacts of the listing of index futures trading on spot market volatility, market efficiency and volatility asymmetric responses. To study the effects of the introduction of index futures contracts, a modified GJR-GARCH model has been applied to examine the structural change of conditional variances before and after the introductions of index futures trading in S&P 500, Nikkei 225, ASX all Ordinaries, and an equally weighted international portfolio. Additionally, the coefficient dynamic tests have been adopted to examine whether the identified impacts of index futures are consistent over time in both the individual indices and international portfolio. This paper finds the increases of conditional volatility and market efficiency in both Nikkei 225 and the equally weighted international portfolio in a post-futures period. In the U.S. and Australia, however, no significant structural change on conditional variance has been found in a post futures period. The identified increases of volatility and market efficiency in the international portfolio are consistent over time.