Theoretically, futures prices will be unbiased predictors of subsequent 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 investigates whether any long-run or short-run inefficiencies or pricing biases exist by identifying and estimating a risk premium. This paper finds that in the long run futures and subsequent cash prices move together and are cointegrated with a single cointegrating vector. 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. In the short run, this research finds no evidence of a constant or a time-varying risk premium. This result does not support either Normal Backwardation hypothesis (futures price average subsequent cash price). The overall results support the unbiasedness hypothesis.