Investigation　of　the　dynamic　correlation　between　financial　markets　has　important　and　realistic　meaning　for　the　market　portfolio,　but　the　dynamic　correlation　between　financial　markets　often　shows　＂nonlinear　and　asymmetrical＂　features.　The　Copula　model　can　effectively　solve　these　problems.　This　paper　aims　to　study　the　dynamic　correlation　between　the　second　board　market　and　SME　board　market　by　building　Copula　models　to　the　return　series　of　the　two　boards＇　indexes　and　calculating　the　dynamic　correlation　coefficient　between　the　two　markets.　The　study　results　are　shown　as　the　follows:　(i)　there　is　positive　correlation　between　the　second　board　market　and　SME　board　market　and　the　correlation　is　very　strong;　(ii)　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;　(iii)　the　upper　and　lower　tail　dependence　coefficient　between　GEM　and　SME　board　market　shows　that　less　linkage　risk　has　been　found.　The　upper　tail　dependence　coefficient　is　bigger　than　the　lower　tail　dependence　coefficient,　means　that　the　linkage　risk　is　asymmetric,　that　is　to　say　the　tail　dependence　coefficient　is　much　stronger　in　the　bear　market.　The　upper　tail　dependence　coefficient　and　lower　tail　dependence　coefficients　are　both　in　the　stable　interval,　the　overall　volatility　is　small.　©　2014　WIT　Press.