  The paper puts forward an example of a~Markov function
$f=\operatorname{const}+\widehat{\sigma}$ such that the three functions $f,f^2$
and $f^3$ form a Nikishin system. A conjecture is proposed that there exists
a~Markov function $f$ such that, for each $n\in\mathbb N$, the system
$f,f^2,\dots,f^n$ constitutes a~Nikishin system.
  Bibliography:~20~titles.
