This　paper　aims　to　study　the　dynamic　correlation　between　the　second　board　market　and　SME　board　market　by　building　models　to　the　return　series　of　the　two　boards’　indexes　and　calculating　dynamic　correlation　coefficient　of　the　two　markets　on　the　basis　of　DCC-GARCH　model　and　Copula　model.　The　study　results　show　as　the　following:　a)　there　is　positive　correlation　between　the　second　board　market　and　SME　board　market　and　the　correlation　is　very　strong;　b)　time-varying　Copula　model　is　better　than　constant　correlation　Copula　model　in　describing　the　correlations　among　financial　markets　as　it　captures　market　return’s　feature　of　time-varying;　c)　except　for　a　little　time-points,　dynamic　correlation　coefficient　calculated　on　the　basis　of　DCC-GARCH　model　is　in　a　stable　interval.　©　(2014)　Trans　Tech　Publications,　Switzerland.