The development of capital markets around the world has given rise to growing interest in how the markets are linked. This study, using the Dow Jones & Company country and industry indexes, found that the United States has statistically significant one-day leads over markets in Europe and Asia, that no significant leads extend beyond one day, that changes in foreign exchange rates contribute to the links among markets, and that the industries designated “global” are significantly more sensitive to leads than are “local” industries. Lead/lag relationships may allow yield enhancement, possibly even arbitrage, through trading futures in some markets.