A bivariate EARJI-EGARCH is improved for study the jumps impact on time-varying return correlations between Shanghai composite index, Japan Nikkei index and Korea KS index. The results show the persistence of correlation in east asian is very high. The outcomes show that individual jumps have small effects on time-varying correlation, the effects of simultaneous jumps depend on the jump signs. The same sign jumps have bigger effects on time-varying correlation than individual jumps,the time-varying return between China and Japan increases most. When the opposite jumps happen, the time-varying return between China and Korea decreases most. It shows that when the same jumps happen, the correlation between Japan and Japan is stronger than the correlation between Japan and Korea.Simultaneous jumps have stronger effects than individual jumps.When reverse jumps happen,they have stronger effect than individual jumps,but weaker than simultaneous jumps.The time-varying return between China and Japan increases most,but Nikkei-KS decreases most.It shows that when reverse jumps happen, the correlation between Japan and China is stronger than the correlation between Japan and Korea.
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