Abstract: Using GJR-BEKK-GARCH model and Risk Spillover index method, this paper makes a systematic analysis on the Risk Spillover Effect and its asymmetry among money market, stock market, bond market, foreign exchange market, real estate market, gold market and commodity market from July 22, 2005 to April 2, 2021. The results show that there are extensive and significant two-way Risk Spillover Effects and asymmetric spillover effects among financial markets, and the volatility caused by negative impact is greater than that caused by positive impact; during the sample period, the average risk spillover index of financial market is 25.5%, and the Risk Spillover direction is asymmetric. The real estate market, commodity market and stock market are the net risk spillovers, while the money market, bond market, foreign exchange market and gold market are the net risk recipients; the financial market risk spillover index is time-varying, volatile and uncertain. The financial market risk spillover effect is significantly strengthened during the promulgation of important policies and the outbreak of risk events at home and abroad.