Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual‐listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency futures). The results indicate that the U.S. market plays a leading role in terms of pricing‐information transmission across markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role (e.g., Nikkei Index futures) or even a more significant role than the United States (e.g., Eurodollar futures in Singapore and dollar–yen currency futures in Japan). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1071–1090, 2001