| Abstract | This study examines the dynamic behaviour of two mechanisms that may be reponsible for the transmission of financial volatility between markets, namely integration and contagion. And,we find that countries with heavier foreign trade are generally better integrated, and the change of market integration and volotility are reponsible for the contagion. During the crisis, the contagion level of emerging markets usually exceeds that of integration, and emerging markets usually overreact to contagion. The external risk shocks the US market through economic fundamentals, but this transmission channel of risk cannot be explaned in China. The ajustment of market integration cannot afford to prevent external risks in the crisis, since contagion promotes the transmission channel of risk that cannot be explained by the fundamentals, furthermore, the fundamental links between markets sometiems are affected by contagion. |