中文摘要：

在全球经济一体化进程加速的背景下,信息、资本的自由流动变得更加畅通,金融市场风险从一个市场传向了另一个市场,金融市场风险溢出效应研究也成了金融监管部门以及国内外学者关注的焦点。本文以条件在险价值（CoVaR）法为基础,结合单因子MSV模型分析了我国股票市场与ETF市场之间的风险溢出效应。结果表明,股票市场与ETF市场之间存在双向风险溢出效应,且股票市场对ETF市场的风险溢出效应强于ETF市场对股票市场的风险溢出效应。此外,文章还发现波动冲击对股票市场与ETF市场的影响都较为持久。本文的实证结果能够为投资者在进行股票和ETF投资时提供决策依据,对金融市场监管也有一定的参考价值。

英文摘要：

Under the background of economic globalization,with the process of the world economic integration,the free flow of information and capital becomes more clear,and the financial market risk transfer from one market to another market.Therefore,study of the risk spillover effect of financial markets has become the focus of financial supervision departments and scholars.In paper,the risk spillover effect between stock market and ETF market in china is analyzed based on CoVaR method combined with Afactor-MSV model.This combined model can measure the risk spillover effect between two different markets without copula functions,and it has higher fitting degree in reality than other models.In the first step,joint distribution model of stock market and ETF market is established by using the Afactor-MSV model,and MCMC method based on Gibbs sampling is put forward to estimate parameters of the combined model.Then,the risk spillover intensity between two markets is measured by using CoVaR function.Based on the daily prices of Chinese stock market index and ETF market index over January 4,2010-April 30,2015,our results demonstrate that there is two-way spillover effect between stock market and ETF market in china,the degree of risk spillover effect from stock market to ETF market is stronger than that of from ETF market to stock market.Meanwhile,it is also found that there is long-lasting effect of volatility shock on stock market and ETF Market.The empirical results can provide the reference for investors making investment decisions,and it is also valuable for regulation of financial markets.