This study tests the cost-of-carry model in pricing a futures contract, utilizing a Vector Error Correction Model (VECM). The paper also studies the Granger causality link between futures prices and spot prices. The test is conducted on “SET50 futures”, the Thai stock index futures contract. The underlying asset is the SET50 stock index, which is a value-weighted stock index of the largest fifty listed firms in the Stock Exchange of Thailand (SET). This paper finds that the cost-of-carry model explains SET50 futures price extremely well. Spot and futures prices form a cointegrating relationship. The theoretical restriction of a unitary elasticity between futures prices and spot prices in a cointegrating vector cannot be rejected, once the standard error is corrected due to a possible correlation between spot and futures price shocks. However, contrary to the theoretical prediction of a zero intercept in a cointegrating vector, the intercept is statistically different from zero. This fact can be explained by a negative correlation between the cost-of-carry and the spot price change, which make a futures price to be different from a forward price due to a future’s daily settlement. In terms of Granger causality, this research finds that only spot prices lead (Granger cause) futures prices.