Abstract: The conditional volatility of financial asset returns is an important measurement of market risk, and it often shows an asymmetric leverage effect.So in this paper,using LGARCH(Leverage GARCH) model to estimate the volatility of stock markets,we analyze the contagion effects of volatility risk between China's stock market and its circumferential stock markets by Granger-causality test method.The empirical results show a weak risk link between Shanghai stock market and the others in the entire sample period.Hongkong stock market affects Shanghai stock market at the 5% significance level while evidence of such contagion effect doesn't exist between Shanghai and Tokyo,Singapore stock markets.However,after China's stock market are open for QFII(Qualified Foreign Institutional Investors),contagion effects of volatility risk are found to be much more significant between China's stock market and its circumferential stock markets.

Key words: stock market, volatility risk, LGARCH, Granger-causality, risk contagion