Abstract: 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.

Key words: interest rate marketization, risk spillover, information effectiveness, market stability, MGARCH model