Abstract
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.
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