Based　on　view　of　information　spillover,　we　construct　financial　risk　spillover　index　based　on　method　of　generalized　forecast　error　variance　decomposition　and　use　rolling　window　to　measure　risk　spillover　level　of　currency　market,　capital　market,　real　estate　market　and　their　sub-markets　in　China　during　post　crisis　era.　The　results　show　that　the　risk　spillover　effect　in　China　is　fluctuant,　uncertain　and　asymmetric,　and　strong　connectedness　exists　in　Chinese　financial　markets.　The　interbank　trading　market,　especially　the　repo　market　is　risk　spillover　center　with　the　strongest　risk　spillover　effect.　However,　the　bond　market　receives　the　most　risks　from　other　financial　markets.　Thus,　the　government　should　enhance　supervision　on　interbank　trading　market,　release　relevance　of　financial　markets　appropriately　and　improve　independence　of　the　bond　market　to　prevent　the　occurrence　of　systemic　financial　risk.