Transfer learning involves transferring prior knowledge of solving similar problems in order to achieve quick and efficient solution. The aim of fuzzy transfer learning is to transfer prior knowledge in an imprecise environment. Time series like stock market data are non-linear in nature and movement of stock is uncertain, so it is quite difficult following the stock market and in decision making. In this study, we propose a method to forecast stock market time series in the situation when we can use prior experience to make decisions. Fuzzy transfer learning (FuzzyTL) is based on knowledge transfer in that and adapting rules obtained domain. Three different stock market time series data sets are used for comparative study. It is observed that the effect of knowledge transferring works well together with smoothing of dependent attributes as the stock market data fluctuate with time. Finally, we give an empirical application in Shenzhen stock market with larger data sets to demonstrate the performance of the model. We have explored FuzzyTL in time series prediction to unerstand the essence of FuzzyTL. We were working on the question of the capability of FuzzyTL in improving prediction accuracy. From the comparisons, it can be said fuzzy transfer learning with smoothing improves prediction accuracy efficiently.