| Abstract | The academic research on the interdependence among multi-markets is mostly based on the assumption that the spillover relationships between different markets are constant, though its rationality has not been proved rigorously. This paper utilizes vector autoregressive model to construct spillover index to study the dynamic relationships, including the total spillover effects, net spillover effects and pairwise spillover effects, across stock, bond, foreign exchange and money markets. It is shown that the return and volatility spillovers between financial markets are not constant but illustrate significant time-varying characteristics. The total spillovers of returns are between 7% and 30%, whereas those of volatility fluctuate between 5% and 55%. And the important foreign and domestic financial policies and events affect the spillovers significantly. Furthermore, the net spillovers and pairwise spillovers among financial markets demonstrate that the net spillovers do not keep the same directions, but display two categories of directional spillovers － positive and negative net spillovers － with the changes of market shock. |