Palm oil is the most consumed and traded vegetable oils in the EU and the world. Increasing non-food uses for vegetable oils in especially feedstock of biofuels in recent years have caused the price volatility to rise in both EU and global market. The most efficient pricing of crude palm oil (CPO) is to found on Bursa Malaysia (BMD), and it provides by far the world’s most liquid palm oil contract. The goal of this study is to investigate CPO futures market efficiency of BMD for the European participants whose delivery location in EU. Both Johanson cointegration test and Vector Error Cointegration Mechnism (VECM) are conducted to test long-run and short-run efficiency test for the European spot market and four different futures forecasting horizons that are one week, two weeks, one month and two months. Evidence suggests that a long-run equilibrium relationship exists between the futures price and spot price for all forecasting horizons. The unbiasedness of futures price with respect to the spot price in the long-term can be approved for all but the forecasting period of two weeks. Furthermore, the short-term efficiency hypothesis is rejected for the forecasting periods of one week and two month but is approved for the forecasting periods of two weeks and two months.