This article investigates the abnormal price movements that have the expiration day　effects on the relationship between the KOSPI 200 stock index and its nearby futures　prices in Korean financial markets. Unlike early studies that examined the abnormal　price movements around the expiration day of derivatives contracts just separately　in each financial market, this study examines whether the price relationship between　the underlying asset and its nearby futures markets is associated with the expiration　day of futures contracts using the concordance correlation coefficient, which allows　us to analyze the agreement between two financial markets. Examining transaction　price data from June 14, 1996 to December 14, 2006 shows that the concordance　correlation coefficient between the KOSPI 200 stock index and its nearby futures　prices increases as the expiration day of futures contracts comes closer. This result　implies that the price relationship between the KOSPI 200 stock index and its futures　markets is associated with the expiration day effects of futures contracts and that this　effect can be captured by the concordance correlation coefficient.