This paper examines empirically the dynamic relationship between spot and futures prices in stock index futures market using data for the KOSPI200 during 1996 to 2001, and employing nonlinear-equilibrium-correction approach that essentially is based on the extension of Markovian regime shifts to nonstationary framework. A linear-VECM was rejected strongly when tested against a Markov-switching (MS) VECM that allowed for two regimes in the mean of equilibrium correction model, as well as in the variance-covariance matrix. The empirical model ultimately proposed therefore, is consistent with the spirit of Cost of Carry model, as well as with the increasingly growing empirical literature stressing the existence of important nonlinearities in both spot and futures prices movements.