  We study CP-violating effects in neutralino production and subsequent decay
within the Minimal Supersymmetric Standard Model with complex parameters M_1
and mu. The observable we propose is a T-odd asymmetry based on a triple
product in neutralino production e^+ e^- -> tilde{chi}^0_i tilde{chi}^0_2, i =
1,...,4, with subsequent leptonic three-body decay tilde{chi}^0_2 ->
tilde{chi}^0_1 l^+ l^-, l = e, mu, at an e^+ e^- linear collider with sqrt{s} =
500 GeV and polarised beams. We provide compact analytical formulae for the
cross section and the T-odd asymmetry taking into account the complete spin
correlations between production and decay. We give numerical predictions for
the cross section and the T-odd asymmetry. The asymmetry can go up to 10 %.
