The study on the correlation between financial markets is the basis of financial risk measurement and assets portfolio management. This paper aims to study the dynamic correlation between growth enterprise market and SME board market by building models according 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 by using growth enterprise market index（399006）and small and medium-sized board market index（399005）during June 1st，2010 to May 31st，2012. The study results show as follows：（1）there is positive correlation between growth enterprise market and SME board market and the correlation is very strong and stable；（2）Copula Model considers nonlinear factors between markets and it is better than DCC-GARCH Model in description of the correlation between financial markets；（3）time-varying Copula model is better than constant correlation Copula model in describing the feature of the change of market return rate with the change of time and in describing the correlation between financial markets. Thus，it is an inevitable trend that China’s growth enterprise market mergers with China’s small and medium-sized market，the investors should use Copula Model to analyze dynamic correlation between financial markets but should not invest across growth enterprise market and small and medium-sized market.