Can i create an index across a linked SQL server?

Hi ALL,

 I was trying to create an index from SQL serve A on a table which is on SQL server B.

The two SQL servers are linked. But its giving me an error saying maximum number of prefixes.

This is the script i used 

create index idx_cm on [ServerName].[DBANAME].[dbo].[tableName](Col1,col2)

See the error below

The object name 'ServerName.DBANAME.dbo.tableName' contains more than the maximum number of prefixes. The maximum is 2.

Tina