金融市场的有效性和稳定性是实现利率市场化的必要条件，它体现了金融市场对各种“信息”的反映和过滤能力。其中一类重要的信息是不同市场之间的相互影响，也称为风险溢出。在全球金融市场一体化的背景下，这类信息的影响尤为突出。中国正处于利率市场化改革的关键时期，研究国内外不同市场之间的风险溢出效应，对了解国内金融市场的成熟程度，从而把握改革的关键时机具有现实意义。本文运用多元GARCH模型研究了2005年8月至2012年8月之间中美两国共7个市场的样本，发现国内市场的有效性在样本期间逐渐增强，但对美国市场的风险抵御能力尚未体现。据此建议国内市场对外开放需要慎重。

The effectiveness and stability of financial market is the necessary condition to realize the marketization of interest rate, which reflects the ability of financial market to reflect and filter all kinds of information.One important type of information is the interaction between different markets, also known as risk spillover.Under the back ground of the global financial market integration, this type of information is particularly prominent. China is in a critical period of market-oriented interest rate reform.It has practical significance to study the Risk Spillover Effect between different markets at home and abroad, and grasp the mature degree of the domestic financial market. In this paper, A MGARCH model was used to study the sample of 7 markets between China and the United States from August 2005 to August 2012.We found that the effectiveness of the domestic market gradually increased during the sample period, but the ability to resist the risk of the U.S. market has not yet been reflected. As consequence,our suggestion is that it should be prudent on the opening of the domestic market.