The purpose of this study is to examine the intraday dynamics of the KOSPI200 index futures mispricing and to analyze the cause of persistent mispricing. The mispricing, which is defined as the difference of the futures market price and the theoretical futures price by cost-carry model, has properties of nonlinearity and mean-reversion caused by transaction costs, regulatory restrictions such as short selling shares, and arbitrage activities, lead-lag relationship, respectively. They, however, are limited to explain the persistent mispricing phenomenon. Thus we suggests a new factor, the perception gap in the fundamental (common factor) between futures investors and spot investors, on the basis of the fact that there exists a common factor which results from the cointegration relationship between spot and futures processes, and futures investors and spot investors are not the exactly same. Finally the suggested factor is statistically significant in explaining the persistent mispricing by the empirical test using TAR models with Instrument Variables.