Theoretically, futures prices will be unbiased predictors of future cash prices only if a market is efficient and no risk premium is present. This research empirically tests two separate hypotheses of market efficiency and unbiasedness of Thai stock index futures (SET50 futures) in prediction of subsequent cash prices (SET50 stock index). This paper also investigate whether any long-run inefficiencies or pricing biases exist by identifying and estimating a risk premium. This point is important because a biased forecast of the subsequent cash price would hinder the use of futures contract for hedging operations. This paper finds that in the long run futures and subsequent cash prices move together and are cointegrated with a single cointegrating vector. The cointegrating vector is close to [1,-1] as suggested by the unbiasedness hypothesis. The statistical test could not reject the null hypothesis of futures unbiasedness. There is no evidence of a constant risk premium. The error terms are also free from auto-correlation as required by market efficiency.